1) Of course you need the right codecs installed to display MP4 and/or AVI. Which one depends on your platform / distribution and personal taste.

2) What are "the new zipped extras"?

3) You don't pass a file name but a folder name here. cheat.7z is a folder named cheat. That's actually an emulator related question, not a front-end one.

4) Probably the same, but I dunno exactly.

5) AFAIK, they still work and were never included in the MAME binary.

6) What's "artpreview"? Previews in QMC2 are meant to be in-game screen shots... but you basically use them for whatever you like... there's custom artwork classes now (since a few version) which you can define and name yourself.

7) QMC2 is "portable" the way it is. If it's not the solution you want, suggest a clean patch (that solves the inherent chicken and egg problem).

A mind is like a parachute. It doesn't work unless it's open. [Frank Zappa]