I typed all this up before I realized you're likely using something newer than me. I'm using MAME v0.161 (MAME & MESS are still separate in this version)... I'll post it anyway in case it helps somehow.
I ended up making multiple copies of mess for each console - I can't remember what problem I ran in to but my initial attempt was to create one folder: D:\Arcade\Atari with multiple ROM folders: \Atarti\Rom\2600, \Atarti\Rom\5200, \Atarti\Rom\7800... for some reason I couldn't make that work correctly.
MESS is small enough that having multiple copies doesn't cause a problem for me, so I set it up like this:
D:\Arcade\Atari2600
D:\Arcade\Atari5200
D:\Arcade\Atari7800
All MESS files/folders are in each location with ROMS for individual systems in their own folder (D:\Arcade\Atari2600\Rom, D:\Arcade\Atari5200\Rom, etc).
From there, I pointed Maximus Arcade to Mess in each folder for each system setup.
My command line options are:
a2600 -cart %file -skip_gameinfo -nowindow
I do not have BIOS files for any of the Atari systems I have running.