MAME shows 'the selected game is missing one or more required rom or chd image' error message

The MAME FAQ covers this.

Why does MAME report "missing files" even if I have the ROMs?

In brief,

• ROMs can change as better ROM-dumping techniques are invented or as details of game behaviour are more meticulously recorded. The latest version of MAME generally is optimised for the latest versions of game ROMs and may not work with older ROMS that lack some data.
• ROMs for different games sometimes had a lot in common (e.g. Galaga and Galaxians) so to save space, ROMs were split so that one ROM depended on resources in a "parent" ROM. Disk space is no longer an issue but old ROMs survive. There are "unmerged", "split" and "merged" ROMS. You need the right ones.
• ROMS sometimes depend on external data that was originally stored separately these are sometimes in CHN files.
• Some ROMs depend on a common platform ROM, e.g. a common Atari system-ROM.
• MAME's original objective was to document old arcade games. Providing backwards compatibility with older ROMs isn't a top priority and this is complicated by the fact that IP issues mean that MAME cannot be supplied by the developers with ROMs.

As someone else once said: "MAME's primary goal is preservation. The ability to play the games is just a nice side effect."

I find the best solution is to put those problematic ROMs to one side and obtain some better non-split unmerged ROMs for the same game from somewhere else. This is what worked for me.

There are also ROM management tools that may be able to reorganise ROMs to create new ROMs that don't have some of these problems and are playable with current MAME.