zpaolo11x is correct
You need to put the paths in BOTH...Attract mode has NOTHING to do with mame. That is Attract Mode and MAME (or any emulator for that matter) are different software that meet or solves different needs/reasons.
MAME needs to know the path so it knows where to look to find the rom to load it so you can run it.
Attract mode on the other paw only needs it to build a list. After that it does not matter.
Mame is different because that is just how it is written. It is a pain but you'll get use to it...even though it's STILL a pain
Once you setup your mame.ini path for mame you never have to change it again..unless you update or move them ect. Same with attract mode.
Again Attract mode has NOTHING to do with any emulator. All front ends do is pass info to the command line so that you don't have to type anything ans s o it looks good..PERIOD. And yes Windows is a front end like Attract Mode (well almost..that is debatable on who you ask)..and the goes for any other GUI you run on ANY computer/smartphone.