Does it come up with the 'ERROR: NO GAME ROMS FOUND' (I may have forgotten the exact error message)? I just downloaded it and tried it and it gave me some error along those lines and created the appdata folder and subfolders.
It looks to be a similar structure to that used by panmame, which is a more recent mame you could try fwiw. But you could also just run it then rename the appdata folder to mame4all.
I'm not sure why it's not creating it properly itself. Might be time to reboot your pandora - I do find mine sometimes starts to do strange things after a few weeks of uptime. Just today I failed to spot it blinking its red light at me, and it drained it's battery on me, despite me expecting it to run low and keeping a fairly close eye on it, so I ended up doing a forced reboot a few hours ago.