This is exactly the reason you need to for the most part keep your roms and emulator versions in sync. The actual game roms change when they get better dumps, or when a specific part is emulated more accurately, or when some encryption is broken etc. so a version of a game may break from one version of the emulator to the next, as both the rom file and the emulator itself have changed, and the MAME emulator knows exactly what files should be present in the rom files for that exact version of the emulator, and obviously looks for and loads those files, if the files you have do not match the game will not work.
Also its worth pointing out that picking random games from random places on the internet is a awful idea. Not only do you not know which MAME version it is from, and therefore which emulator version to use for it, but there are three different versions of romsets, merged, non-merged and split, and depending on what version your random rom is from you could be missing a ton of files for that game. This is because MAME works on a Parent and Clone basis, a lot of games ran on very similar hardware so there is no need to have every file needed in every game rom as that is a waste of space, so they make one game the "Parent" which has all the needed files and the other games only include the files that are actually different from the parent, so MAME actually looks for two roms in those cases, the actual game you are loading, and the parent that includes the bulk of the data, if you dont have that parent then that game is going to fail with missing files, like in your images. The only exclusion to this is the non-merged roms, as each game there contains all the files needed for that game to run, but when downloading random game files you have no idea whether its a merged, non-merged or split rom, or from which version it is meant for.
Also depending on the rom types you have they may be completely missing bios files which are needed for games to run. These bios files also change over time so you cant just grab any version, you need the versions for your version of the emulator. Recent examples of this are the qsound bios for capcom games and the neogeo bios. If you have a old version of those you cannot use a recent version of the MAME emulator.