First, there is no current DOS mame. The current version is commandline windows based. Window's commandline looks like DOS did, but it isn't DOS.
Okay that out of the way, what version of mame32 do you have? (IOW, how old is it? This was renamed to MameUI a little while ago.) Sometimes a rom set will change, for
any of many reasons. If either the bios rom set or the game's rom set changed between the two versions, that's why it's saying you're missing a rom file.
Check
MAWS to see when each set was changed. (Neogeo was last changed three times since 0.127.)