Not working for me also. I am running Windows 10 Pro 21H2 x64 with the latest "everything" from Microsoft updates (including .NET) and MAME 0.245
At first I thought "maybe" it was because there were spaces in my directory structure, such as "c:\Program Files (Mine)", but once I removed them and re-created the MAME games list, I get the same problem: The screen briefly flashes the MAME logo on a white background for a split-second, then reverts back to the Screen Saver settings.