Di DalSegno,
-The setup and ArcadeMenu screens look interlaced, can I fix that?
You need an interlaced mode to handle enough resolution for the text mode display, I'm afraid. So there's nothing to fix here. (Unless your PVM can handle 31 kHz, tell us if that's the case).
-A lot of the free ROMs included won't sync on my monitor. Almost all the low resolution ones.
This is probably a low dotclock issue. Open mame.ini (ume.ini if you're using one of the latest distros). Search down for the "dotclock_min" value and replace "0" with "8.0".
-A bunch of games that do work are shifted to the right. I see references to Arcade_OSD and setting porch settings everywhere but I have a suspicion this is all only in Windows.
Once you fix the problem above, tell us what monitor preset you are using and I'll show you how to fix this manually. Arcade OSD is Windows-only, yes.