@pimpyjoe I recommend that you only make subfolders after you get it working.
Sorry, I don't think I was clear on the question: do any MAME 2015 ROMs work?
You mentioned .chd files, these are special files and these ROMS are more heavy, please test with some more "simple" ROMS without .chd files.
Have you checked your BIOS?
You have downloaded a ROMS package, but you have updated your gamelist yourself, or are you using a gamelist that came with it (imagine that there is a possibility to set the core by ROM if this is configured in the gamelist, even if you set the core to the emulator, the specific ROM configuration is what is considered).