You need to install advance mame you can not pull the xml out of it and use it.
Here is your problem... to generate an xml file (at least in mame) you call mame FIRST then add the command option to make it spit out the xml.
So you MUST point attract mode to the mame executable and then it reads the xlm inside the exe (sort of)
So yes:
1.download and install advance mame on to your pi using the retropie menu.
2. edit the mame/arcade/ emulator config file (example arcade.cfg) you can edit it directly from the pi or through ssh
follow my guide link above.
if you are still stuck...
if there is no exe file (or bin in this case for linux) then you CAN NOT generate a list because again when you generate the list using the option..it looks for the executable so that it can make it cough up the xml...no executable no xml period.
That is how most (if not all) emulators generate the names list..the mame core is not a "real" executable..thus not xml..or long file name list (dkong instead of donkey kong)
That being said..are you connected to the internet when you generate your list? if you are before you generate your list..make sure you are conected to the internet and change the info source to the gamesdb.net..NOW try to generate your list it SHOULD work...
if you can not get on line with your pi (and I assume you can) or the gamesbd is down for whatever reason...THEN you can try the "hard way" as a last resort (following my guide)
another option is to set up attract mode on your PC and download advance mame and set up attract mode to use advance mame as the executable, tell it where your roms are, and then use the listxml as a source. you can then copy the game list over to the pi and overwrite the old one
if you are still stuck let me know
OK before I proceed... Apparently I didn't realize but I already have "advance mame 1.4 installed" is that correct because I also see advance mame as well as advance mame 0.94. Prior to proceeding I don't want to confuse my pi / software by adding other versions that's not needed.

Forgetting about me having that software installed even IF it's what's needed I looked at your other post and it really doesn't help me I'm still stuck. If I can get a step by step of what to do I'd appreciate it.
also I looked at this means nothing to me it's not really explained well enough I appologize
"# Generated by Attract-Mode v2.2.1
#
executable /opt/retropie/supplementary/runcommand/runcommand.sh
args 0 _SYS_ arcade "[romfilename]"
rompath /home/pi/RetroPie/roms/arcade
romext .zip
system Arcade
info_source listxml
import_extras /home/pi/.attract/mame-config"
I don't see that file : "That is part of your mame (Advance).cfg above.." or where can I locate it within WinSCP ? I would imagine it's somewhere here ?? :

Again I can surf through WinSCP and find config files etc, I just need to know what needs to be done to properly generate the game list I don't understand why it's so frustrating to do such a simple task.
I think I might of found the .cfg I need.... but still confused what I gotta do with it lol ?

YES YES YES YES YES!!!! Finally ! WORKING ! THANKS GUYS For helping me out !

*Still I'd like to remove the parentheses / brackets from the rom list names is that easy to do ? If not I won't screw with as it doesn't bother me THAT much but I don't need to know in other words would like to remove the (US) VERSION / (World Version) as an example on Bubble Bobble 2 :

Also to note the odd thing is that I have 1600+/- games / roms within the rom folder prior to utilizing this method and I think it said the list it "generated" was 3,000+ ? makes no sense as I only have 1600 playable games.
Also the "marquee" folder is JAM PACKED with thousands of games but lots seem to be missing withing Attract Mode. I downloaded the 1.5gig file from emumovies. Why do I have so many missing marquees when that file is gigantic should have all of them ? But they aren't all showing up ?