So it sounds like an issue with the roms you’re trying to run. Most websites offer the newest versions of mame roms which aren’t going to be compatible with mame on the pi. Those roms run fine on your windows machine because you’re using a much newer version of mame on that setup.
What you need is the “mame 037b5 complete full 2270” set. Try a google search for that string ;) As far as I know there’s no easy way to get individual 037b5 roms.
EDIT: alternatively, piFba supports the latest versions of many roms including Metal Slug, Metal Slug 2, etc, but that’s a whole separate setup.