There's not a problem with the box. I won't pretend to know anything about the hardware besides swapping out a hard drive and performing the very dangerous "hot swap", but it's not a hardware issue.
All emulators that save settings do it with .INI or .INI-type files.
What is Mame-X?
Do a google search for CoinOps Ignite. It's the best MAME emulator out there now. I think you're using an old arcade emu and either it wasn't configured to actually save settings in the first place, or somehow it got hosed up. Normally, I would tell you to delete the emu and find the TDATA and UDATA saves for it, but since it's an inferior emu if it's not CoinOps anyways, you should just delete the emulator and replace it with CoinOps.
~Rx