Ok, I fully specified the paths now and the MAME app launches now, but after displaying MAME's window for a second or two, I'm automatically switched back to attract-mode. So I click in MAME's window to bring it back to the front, but now any keypress is ignored and I get the "beachball-of-death", i.e. MAME hangs.
I'm able to switch back to attract-mode and chose another game, the old MAME is stopped then and another instance is started, but with the same symptoms.