Now it works. Don't know what I did. I removed a bunch of software to try and free some space. And also re-installed a couple of times.

I do notice sometimes that mame just ignores my request to start (I click the icon and nothing happens, as though I didn't click anything, it's not running or trying to run), I then do a soft reset, and it will work afterwards.

Very cool software! (Can't get the sound to work and still have the games be playable, speed-wise, which is too bad.)