I'll assume the ALL CAPS is you being frustrated and not you yelling at me.
If you have the path to the mame.xml specified in the config app, but LEDBlinky is still reporting that the value is missing - is it possible you have LEDBlinky installed in more than one folder? Make sure the LEDBlinky folder is in the GameEx plugins folder and that you are running the LEDBlinkyConfig.exe from that folder.
If that's not the issue, then turn on the Debug Log and Verbose options, run GameEx and a game that does not light as expected, then email me the debug.ZIP file and I'll take a look at your configuration.