Well the mame4all specific config file is
/opt/retropie/configs/mame-mame4all/mame.cfg
In that file you can adjust a border here:
display_border=0
but I think the defaut is 0.
Maybe you need to make sure your monitor is set correctly here?
http://elinux.org/RPiconfig#Video
This is done in
/boot/config.txt
