Welcome to GameEx, FlightRisk.
I'm hoping I understand you correctly - here's a few tips:
a) "Can I run GameEx, ROcketLauncher and RetroArch together?" - YES. I know RA and GE interface well. I also know others (not me) have set up GE with RL. I can't image why all 3 couldn't work together - it'd effectively be 'daisy chaining' cmd lines together (GE>RL>RA)
b ) Assets (images/videos etc) locations. I don't use GE Arcade, but I assume it works the same as GE. GE does have a default location for asset downloads, but you can change these in the Emulator setup in Setup WIzard. Any further asset downloads will then be placed in the path you're specifying for the emulator. A word of caution though: be careful around asset naming conventions if you're looking to have 'pooled' asset locations for all front-ends. For example, Hyperspin may look for assets named in the No-intro format, whereas GE may look for ones matching the GE database name.
@Adultery has a big Retroarch setup if I recall correctly. If he's not feeliong too grumpy today (he's old, you see, like myself) he might chime in with his yoda-like wisdom.
Good luck and keep us posted on your setup.