Rom sets should match the emulator being used, the further apart in versions you get from each other the more likely to find games that don't work at all.
30,000 games contain a lot of garbage like mahjong, video poker and mechanical games which the vast majority of people do not want in their LB setup. This is why there are filters in the importer, with everything filtered out I believe there is approx 2800 or so games imported from a full set.
Yes with the official builds of Mame you still have to press ok, there are no nag versions available on the net and here on the forums.
Bezels can be turned off in the mame.ini or in the mame ui.