Firstly, there is no single company to license "ROMS" from. The ROM files that MAME supports were created by many different companies, many of which have either bought or sold the rights to their games, some of which have gone bankrupt and had their assetts (including the games) sold to other parties. Additionally, some games have complicated licensing and distribution rights granted to other third parties.
Secondly, while there seems to be a perception that these ROMs don't represent any economic value to the license holder, even a casual observer can tell that this simply isn't true. Most of the "classic" games that we all remember are available in collections of retail software packages (Namco, Williams and Atari games for instance are sold in myriad different forms for different platforms: Playstation, PC, XBOX, GameCube, dedicated hardware, etc.).
Thirdly, many of the successful games are still licensed for profit for new full size arcade games (both coin op or personal use). Namco sells their own cabinets, Williams and Atari (then Infogrames, now Atari again!) license third party manufacturers.
Fourthly (and lastly) the original games produced some time ago still generate at least some revenue. Ms Pac Man, among others, is still somewhat popular in restaurants and bars, I often see a cocktail version of the game, and will occassionally dump a quarter in myself.
The silver lining is that as long as you aren't attempting to make a profit, and you are using the ROM files for your own personal use, the copyright holders, SO FAR, don't seem to be coming after individuals like the RIAA has been. I'm not saying this legitamizes what we are all doing, but it at least makes it practical.