I'm trying a clean build with the latest MinGW, but I also see the same problem with MSVC:
make.exe: *** No rule to make target 'obj/windowsd/MESS/MESS.o', needed by 'MESSd.exe'. Stop.
MAME builds without issue, and I have built MESS successfully on this system, but quite some time in the past.
It's the only file that won't build. I can build the mess.o manually by swapping the MAME and MESS .c files, and then asking MAME to build it, but obviously that's not how it's supposed to be.