You can create a dummy file such as mame.cmd with notepad and point the executable path to that. Doesn't really matter since you won't be using mame, and it will get rid of that error. I'm not sure what other errors you'll get after that when Mala tries to generate a Mame main game list.
You may need to get a mame.xml file so Mala can initially generate a game list. You could always download Mame just long enough to set up Mala initially. Its not like you would have to download roms or setup and configure Mame. I don't see the fact that you won't be using Mame as a big deal. Just a couple of errors to get through.