You are probably using newer, incompatible rom versions. As it says in the included readme, MAME4ALL needs romsets that are compatible with MAME 0.37b5 (which is a MAME version from July 2000). I think some current versions of roms may still be compatible with 0.37b5.
If they aren't, or just to be sure, take the included clrmame.dat file and use clrmamepro to convert your newer roms. Also, be sure not change the name of the rom zip. Each zip needs to have it's designated name.