I am having the same problem...my mame video snap files are not showing in Attract Mode. They are named the same as the roms and I've tried putting them in both /home/pi/RetroPie/roms/mame-libretro/snap/ and /home/pi/RetroPie/roms/arcade/snap/ locations.
I am able to see the video snaps in ES, but not in Attract Mode.
Also, my other consoles (NES, SNES, etc) all are working with video snaps in AM. My only problem is MAME.
Any help is appreciated...
thanks.