The legality of ROMs is a complex issue. The general consensus is that the games themselves are copyrighted, and downloading ROMs of games you do not own a physical copy of is considered piracy. However, there are exceptions and nuances:
Some MAME packs include metadata (like game descriptions, artwork, and ratings) to enhance the user experience. roms mame pack
Picking just a few specific games without needing the whole set. The Golden Rule: Matching Versions The legality of ROMs is a complex issue