ROMs aren't included in MAME as they are under copyright which will expire around the year 2110. However, there is an Archive somewhere on the Internet which may or may not be helpful for testing things in MAME.
For MK5/MKV games, you will also need the setchips otherwise you won't be able to run the vast majority of USA software.
Note that the games run way too fast as the video chip isn't emulated properly (the interlace mode isn't emulated, which causes the machine to skip every second frame and messes up the sound which is tied to the frame rate), and some of the games don't have working sound, but they are all playable even if they are listed as not working (with the exception of bad dumps which don't boot at all, and the oldest USA games which tend to freeze if a cashout or hand pay occurs, requiring a RAM-clear with a setchip to get back to playing).
MK6 isn't worth bothering with in MAME as the emulation is nowhere near complete (the games POST but nothing boots) and the driver has been basically abandoned. In an ideal world we'd probably be using something like Flycast for MK6 given the SH-4/PowerVR combination (that's where the similarities end though, and the PowerVR chip is not the Dreamcast one although it's the same generation) but it's anyone's guess if the devs of a console emulator want to include gambling games, or if they could even be bothered emulating the custom hardware that isn't even remotely related to the Dreamcast (e.g. I/O boards, bill acceptors, TITO etc.)