I'm still looking for a solution myself.
When launch Attract.app from my Applications folder, it launches fine but it doesn't see any ROMs (all blank).
When I launch the attract executable from within in Attract.app package, it launches through Terminal and everything works fine.
I've tried tweaking all the permissions by giving full disk access to AttradeMode, the executable itself, the .attract folder, Terminal and RetroArch and it just will not see the ROMs unless I launch from Terminal. It's an annoying workaround but I'm glad it all still works.