I found a way around this issue by using Custom Folders. I am no pointing the MAME custom folder to a folder i called GameExtender where i put the GameExtender pictures. One drawback with this is that i only get one picture pr. game - but i can live with that.
I have a self-buildt cocktail table running GameEx with Mame only. When playing games i use cocktail mode (mirroring) when playing horizontal games. But i would like the screensaver to use horizontal mode instead of cocktail(mirror) mode. I am thinking that if i could set a different command line for starting mame in screensaver mode i could use a command line option to rotate the screen to my liking. Is there a way to set a different command line for screensaver in GameEx?