The roms and the CHD's need to be from the correct set of MAME
Any gui version of MAME can audit each game from a right click on the game before loading and will report back what exact files are wrong or missing if any
http://www.progettosnaps.net/mameui/ is a basic GUI version of MAME
You may be missing something or you may just be using a set from an older version of MAME than what you currently have
If there is nothing wrong with the CHD and rom files it could just be that the game is not yet playable, in MAME there are tons of unplayable games that for now have unfinished drivers and are still considered in WIP
Our roms as far as know are for version 0.164 of MAME, the site I linked has old as well as new versions of MAME
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