Okay...
I tried them on another Xbox, also a version 1, with the same Mame X, and the same rom files. In fact, I simply copied his Mame-X folder, with roms, back to his PC, and burned them to a CD. I then copied them over to my Xbox, and they don't work.
I tried unzipping the roms though, and now they work. So, it is an issue involving where the Xbox is temporarily unzipping the roms. Apparently wherever it is trying to put them does not exist?