This is the unavoidable caveat of MAME full sets. The legal status of downloading ROMs is not a "gray area"; it is generally black and white.
According to the official MAME documentation and legal experts: "Isn't copying ROMs a legal gray area? No, it's not. You are not permitted to make copies of software without the copyright owner's permission. This is a black & white issue." Mame Full Set Roms
Pre-configured visual heavyweights that look like real arcade menus out of the box. This is the unavoidable caveat of MAME full sets