The MAMEUI interface is outdated rubbish win9x era code that's barely been maintained (just kept working, nothing more)
it doesn't fully support the features that have been added to MAME over the years, including the non-arcade stuff.
From the commandline for NES it's as simple as "mame64 nes metroidu" assuming you have the correct Software List roms in addition to the basic romset.
for Conan on the 2Gs you can do the basic launch with 'mame64 apple2gs conan'
you then have to press SCRLOCK to switch to partial keyboard mode, this allows you access to the tab menus etc. Half way through loading, when prompted to flip the disk you need to go into the "File Manager" in the tab menu, and change the disk in the first disk drive to the 2nd disk 'flop2' (by default MAME maps one side to each drive, but the game doesn't seem to support more than 1 drive so you have to do the manual change)