CPS III games require .chd's to play in MAME. CHD's are basically CD images as the CPS III was a relatively new system the games came on CD, so in order to play those you will need to track them down, bear in mind that they can be quite large files due to them being CD's. Pleasuredome has the full set of .CHD's but that is around 650GB in total, so that's up to you if you want the full set, I personally do have them, just so I can play the likes of Street Fighter 3 Third Strike.
As for the scraping that's just the way it is with arcade games, all the well known games should have artwork though, as long as you scraped the games as Arcade you will have everything that is currently available. If you want to remove games with no artwork you can use the audit feature. Just select Arcade on the left then Tools/Audit Arcade, then once the window loads you can sort by various ways, like Front images and such, it will put all the games missing images to the top of the list, you can then highlight all the ones you don't want, right click and hide or delete.