All Mala does is tell MAME which rom to load, not where it is located.
That path is set in MAME.ini and handled by MAME.
If MAME appears to launch in the window, Mala has done it's job.
If you have Mala hiding everything in parenthesis, it could be that Mala is passing the name of one of the clone roms instead of the parent.
And if you've eliminated clones from your romset, it would be missing files.
Anything non-standard in your setup like:
Do you have multiple rom paths set up in Mala?
Are you sure that Mala is pointing to the same MAME.exe as your command line?