Could you turn on the debug log and verbose options (on the Misc Options tab), and then run Mala. Then email me the debug.zip file - I'll use that to figure out why the buttons are not lighting.
As for the coin door lights - that's got me a bit stumped. Nobody has ever had this problem because I guess they just hard-wire the LEDs (no sense in wasting a software controlled port for a LED that's always on). But in your case, you want them to blink.
If you had a second LEDWiz controller, then it would be easy - just use LEDBlinky's "Cabinet LEDs" feature. But I'm guessing you don't have a spare LEDWiz laying around

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I think the simplest solution would be to disable the "Light MaLa Controls" option and instead create a single frame animation to light up the correct buttons (and coin door LEDs) - then set the "FE Active Animation". I actually do this on my system because I wanted the FE buttons to change colors every few minutes. The only down side is that if you decide to remap your FE controls, you'll have to update the animation (but how often do you remap your FE controls?).
So that would light the coin door LEDs when the FE is active, but not while playing a game. For that I think your only option would be to set the keycodes for the coin door LEDs to the same as the emulator's COIN1 control - usually KEYCODE_5. Then use the "Light Player Start and Coin Buttons" option. Or you could add the COIN1 control to the default control group (on the Common) tab and check the "Always Active" option.
Hope this all makes sense.
Arzoo