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Correct. GameEx looks for videos first (.avi, .mp4. etc.) then looks for the presence of snaps. There are many more snaps for the various ROMs than videos. While the EmuMovies Download Utility is a great software for automating the acquisition of missing videos and snaps, I much prefer using the FTP for manually downloading what I need. This may be a preferable route for you as well as you can remove the "blank" video and provide the snap to show until a video is available or you have time to create your own. This will also help you manage, albeit manually, without the Download Utility replacing the missing video that you had just removed.

Speaking of GameEx configuration, just start by learning to use the Setup Wizard (Setup Wizard.exe). The "?" buttons give you some explanation of what any option does... you can disable every feature you aren't going to use and leave only MAME.