First off, Disclaimer: There are no links to roms in this message.
It is using an earlier version of Mame. .158 I think? So yes there may well be a problem with your rom set.
I'm going to have to look at my home PC for the links to the prebuilt arcades. I know you just want to jump in, but in the meantime Take a look at the links below from the Steam Forum.
The Open Arcade I believe will get you going right away but I can't say for sure as this is a new file since last weekend.
I haven't used the Arcade Manager yet but it sounds like everything it there for building your own space.