Thanks for getting back to me, very much appreciated.
It's a Raspberry Pi 1 512meg. I've changed the permissions on the ./retropie folder, however didn't fix the problem. (I didn't expanded the memory, but did run the RetroPi setup script)
I've been doing some more playing around, and actually did get it working for a brief period of time . Was playing Phoenix and Space Invaders without any problems.
Things weren't behaving in a consistent way, so I started from scratch:
1. Used ROM's from my mame4all PSP implementation.
2. Burned RetroPie/Emulation Station and verified them all to be working.
3. Re-burned AM from your image, added ROMS to default mame-mame4all/ roms folder
4. Run RetroPie Setup script
4. Created ROM list and scrapped art from within AM
And it worked!! Marvellous

Here's were it went wrong
I changed mame.cfg to make it vertical orientation in Leafpad editor, saved, re-booted and then hasn't worked since. The strange thing was that when i opened mame.cfg to check everything was ok, it was completely empty.
I used the template version and changed the rom path to where the roms were, but noting worked. Changed permissions, re-booted, nothing worked, back to my old error again.
So, I've probably screwed the mame.cfg which may have been my problem all a long. Now I'm going around again, but this time will back the config file up before I touch it.
The Retro Pie setup takes quite a while, so will be back again with my findings.