user pi hasn’t rights to write in the mame.cfg file.
So when you left a game and start a new game, the mame.cfg you configure in the last game had not been saved, because your user (pi) hadn’t the rights.
To make user pi has the rights you have tu type the command :
sudo chmod 777 -R /opt/retropie/
for all emulators
sudo chmod 777 /opt/retropie/emulators/mame4all/mame.cfg
for only mame4all
