Just a noob but I'll try to help.
There are 2 OK screens, one the first time you launch a rom and another letting you know that while the rom may be playable there is something wrong with it. The first OK screen disappears on it's own after you click it once. The second never goes away unless you find a complied version of MAME that gets rid of the nag screens. Check Google for that. This is a MAME issue, not a MA issue.
I can't help you on the second one, as I just use MAME for NeoGeo games. Is there a reason to use a separate NeoGeo emulator when MAME works well? You can try checking with the Maximus Arcade support website to see if the particular Neo Geo emulator you're using is even supported. If it is, there are directions on how to set it up properly.
No clue on the last thing as I'm not sure what you are trying to do.