@Zing Thank you very much for taking the time to reply to me.
So I think my first post was a bit all over the place as there was so many things that worked compared to Retropie but a few little things that didn't, but I was so close and frustrated with myself.
So for MAME I have just used individual roms as I didn't want 2000+ games. On a fresh boot up of Recalbox the roms loaded every time but when i exited a game with Hotkey + start about 50% of the time the game would go back to the MAME roms selection screen but i couldn't load another game successfully, if i rebooted and tried the next game it would work, i did this about 30 times to try the roms i wanted, same issue.
I have no themes, overlays or anything else running, i just wanted the basic build to test so i can get going with the arcade cabinet.
Did i build my own recalbox? If you mean did i download the Recalbox.img and use Etcher to burn it to the SD card and go through the initial boot and setup the controller myself etc then yes i did build my own. FYI Pi1 image.
I then tried SNES and Megadrive games and it was the exact same problem with them, so at this point i thought the Pi1 can handle the SNES games but i get the same issue, so i thought it might be an issue with the Pi1 and Recalbox?
I did build a PC x86 and X64 usb stick but I cannot get my PC to go to the bios, even though it says F2 on boot up. So i tried it on my laptop and it says the "selected boot image did not authenticate". So i tried it on my work laptop and it worked, although i can't test with that device as it will cause bit locker to kick in!
So now, i have put it on hold as it could be the Pi1 overheating (probably not, but maybe).
I can't see that i am missing something with the SNES or megadrive option as that is just the case of build the Recalbox OS, configure controller and copy roms to the right folder, the roms load individually i just have to reboot to load another one, i cannot play a game exit it and start another one without a reboot.
I have now ordered myself a Pi3+ and official Pi charger so this will remove the performance issue. I am going to try again from scratch with a fresh build starting with Snes and Megadrive roms, then move to MAME. I will also change the PS Classic controller to have Select as the Hotkey as you have advised.
Again thank you for taking the time to come back to me with the detailed explanation and advice, i am going to follow this and report back if that is ok with you.
Thank you for your time