Have you tried saving volume in emulation station? Even if so try it again
In Emulation Station I can adjust and save the overall volume @ the main menu.
However in MAME, settings won't save.
For example, in MAME Midway games are often quiet, more quiet than most games.
I can go into the MAME menu via tab, reconfigure my buttons.
And in Midway games I think I hit F2 to get the service menu.
So take MK3 for example. If I were to hit F2, adjust the volume and save it, then via TAB, reconfigure my controller to have the run button where I'd like.
If I exit MAME, then go back into it, not even powering down...the settings are gone.