If you copy the default.cfg file from your previous one, it will retain the settings of the keys.
NB, you must run Mame and a game first before you do this!
I created a batch file that overwrites the file automatically or you can simply copy the file from the previous Mame folder.
Hope that helps, because I also found it really frustrating to have to do that every time.
One thing that is frustrating at the moment for me is having to keep setting the folders each time.
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