Mike-
Excellent...
How did you create your romlist? My romlist doesn't have any zip ext. But, I typically import using xml files. Though, building with the gui shouldn't make any difference. Maybe, its the way mame4all generates its list.
All your roms, media, configs etc... I would put somewhere on /home/pi like below:
However, you want to organize it. I do something like this:
/home/pi/media/mame/snaps
/home/pi/roms/mame