Hey now, stop trying to be elitist. I have that same problem too and apparently most of my ROMs went bad. If it was just a few ROMs, I would think that I would have to get updated ROMs. I've thrown at least a dozen different ROMs at it and it won't load due to "missing ROMs". I know I'm missing something but I don't what problem is. MAME OS X isn't exactly user friendly like MacMAME.
I agree, it's not as user friendly as MacMAME. I'm all for an improvement, but unfortunately, I'm delegating this task to someone more motiviated than I.
As to trying to figure out the problem, MAME OS X should
be able to provide all the information you need. I suggest setting the log level to "Debug" and then look at the Log window. If you can't interpret it, post it here, and I'll take a look. With Debug enabled, it should show every file that's tried, and any error that the MAME has with missing ROMs. If you have a current ROM set, it really shouldn't be too difficult to get this up and running. Just stick 'em in ~/Library/Application Support/MAME/ROMs, and run.
You can also try running the ROM auditing tool, using "Tools > Audit ROMs..." menu. Have it scan everything, or just a particular one you are having issues with.