Yes, that game works fine in MAME (tested with 0.237) once you follow the instructions (and use official MAME as they state).
1. Remove the original rom sfa3.zip if you have it (or rename it)
2. Rename sfz3mix.zip to sfa3ud.zip
3. Extract sfa3ud.zip
4. Enter the extracted "sfa3ud" folder
5. Rename the "bat_sfz3mix_sfa3ud.txt" to "bat_sfz3mix_sfa3ud.bat"
6. Run the bat file to update/rename the files
7. Add all the files (exclude the txt and bat files) to a new zip named "sfa3ud.zip"
8. Copy this new zip to your roms folder for MAME
Add to your romlist for attractmode