Firstly the artwork.... It must be unzipped. The folder names must be "snap","cabinets","marquees", and "flyers" You point to the path as you did though.. just "c:\mame\" and it will automatically search for those folder names above inside it.
The next and previous page buttons (z and x by default) move between lists. The 3 key is the experimental random select key.
Your list responsiveness problems can be one of two things....
#1 You have some artwork that is HUGE (not likely since your haing artwork probs)
#2 You need to tweak your scroll rates in your lazarus.ini Lower numbers isn't always better in this case... you need to find a good balance. Remember that up and down move one at a time rather slowly for accuracy and left and right move a page at a time, very quickly for long lists.
The problem with a log is the only way to do it is to trap errors. If I go to that much trouble then I might as well write intelligent error messages. The wrappers do have very basic logs though.... If you look in a dir that contains one you'll find a log.txt showing the last command it passed.