I believe that's the way it's supposed to work.
There's a .cfg file for every ROM that you play. That .cfg file contains your settings for your controllers and other stuff.
So boot up a neogeo game, change your controller settings using the menu from the TAB key while in-game, and make your changes. From there, it would be a matter of copying the .cfg file from the neogeo title you tweaked to all of your other titles. Then all neogeo games will have the same settings, and all your other ROMs will have the default ones.
If that's not what your after, forgive me, it's early.
-jeff!