First thanks both for help!
I finally solved, as you suggest, path to executable was wrong.
I used
lubuntu@lubuntu:~$ which mame
/usr/games/mame
to find the correct one...I missed one "s"
once inserted in AM everything works!
P.S. about Lubuntu 15.10
I want to build an arcade stand alone box using lubuntu live on USB pen drive on netbook acer aspire one.
AttractMode seem to be the best frontend to do it.
I download from Lubuntu home page and I installed on usb pen drive as boot device.
It works like a charm, also using the usb pen on a different computer.