It would be really helpful if you had an option that was something like "add game to list", so you could add games to existing list (then maybe it would prompt you to choose an .exe file.. similar to main menu wizard).
This isn't really something you want the front end to be able to do. I think this should be kept in the backend system and not something that anyone should be able to access via the front end. It's the same way in Maximus, except with Maximus you load the FE and then hit a key combination to bring up the settings. HyperSpin just has a separate application that is used to handle the setup, so the setup isn't accessed by anyone on accident. Believe me... having a 4 player control panel when I was running Maximus caused all kinds of problems with the button mapping.
Universal Favorites list 
This may be coming in the future. Right now this isn't too difficult to do now in HyperSpin. Simply create a database with your favorites and in the <exe> tags tell it what system to run when launching that game. While you wouldn't simply be able to add a game to the favorites like the favorites button does, you can still have a single list of games that you can add to your main menu.
I personally have lists on my main menu for Mario Games and Sonic Games that list all games that were made with these characters for different systems. I can access my Mario Main menu and launch any game from Donkey Kong (MAME) up to Super Mario Galaxy 2 (Wii). Same with Sonic, I can access my Sonic Main Menu and see Sonic games from Sega Genesis, Sega CD, MAME, Sega Game Gear, Sega Saturn, Sega Dreamcast and even Nintendo DS and Wii.
The thing is, with HyperSpin game lists... If you've taken the time to explore how HyperSpin interacts with the XML game database files, you can setup virtually any game list you want. While it may not be automated and it will take time to do, but it can be done.
In Maximus Arcade you could really easily make lists for types of games, 2 player games, vertical games, etc.. it would be cool if that was automated in Hyperspin.
I beleive that these are options that are being added into HyperList which can be used to create such lists.
It would still be cool to have an option to scan rom folders. Or at least make an xml list where the rom names are filled out (and the game name could just match the rom name). This is a far easier place to work from and start editing if you want to add non-supported systems.
I'm actually working on something similar to this on my own. I'm still learning AS3 and Adobe AIR, so I'm still a way off from having anything near working. The best thing to do right now is use HyperList from the HyperSpin-fe.com main menu.