There's been a few complaints about that, although I haven't changed anything in that area. Of course, it doesn't happen for me.
All I can suggest (which seems to work) is to change all the relative paths to absolute ones, in mame.ini, ini\mame.ini, and ini\ui.ini
For example if it said "roms", change that to "C:\mameui\roms" (or wherever your mameui is installed).
And most importantly, make sure that inipath is set to "c:\mameui\ini" (so it is a folder from where mameui is installed), in mame.ini and ini\mame.ini .
This is a bug that can affect mame and all derivatives, but for some reason mameui is affected more than the others.
There's a rework of the options system planned, although I don't know when I'll have the time to do it.