Hmm . . . I'm not entirely convinced that filtering at the ROM level is the best approach for this particular issue. Even still it would be pretty handy to be able to do so. Here's what I would envision for a ROM filtering plug-in / standalone application in relation to GameEx.
I think the application would need to use the [Arcade]MAME.mdb database as a starting point. MAME.mdb gets rebuilt each time you rebuild your MAME game list. It incorporates any ROM filters you've put in place via the setup wizard (including Adult, Mahjong, and all the other available filters). The app would need to build a list based on both the MAME and MAMECloneOf columns in the database. The MAMECloneOf column would be necessary here so that the app wouldn't delete a parent set in which you'd still like to include the clone. That part is all pretty straight forward so far (for the most part).
Next the application would need to parse the GameEx.ini to determine what ROMS to exclude from the list. This is where the app needs to be a little bit tricky. The app needs to be smart enough to determine if the excluded ROM is a parent of a clone that we
do want to display. It can't get rid of parent sets where we'd like to keep the clone around (otherwise it would necessitate unmerged sets, which I think are rarely used). This last bit brings up a good point though the app
may need to know how the MAME sets are configured (merged, split, or unmerged), in order to determine how best to filter the ROMS.
From there the app can use the final list to determine all ROMS we'd like to include in our Game List. Everything else could be moved or deleted by the application (probably at the discresion of the user). It would be
super slick if the app went ahead and automatically rebuilt your GameEx MAME list at that point (although this probably the assumes that the app be a plug-in,
and rebuilding the MAME list is an available hook in the plug-in architecture / API)
It could all get a bit convoluted, but I think it's possible. Now I think the issue seen
here may be better addressed in the form of a feature request. Essentially all that would need to happen here is that GameEx would build a video list for the All MAME Games menu in addition to the lists it already builds for the Golden Age, Light Gun, Atari, Neo-Geo and all the other MAME catagories. Then only display videos from the list for the All MAME Games menu.
That's my two cents. I'm sure someone else will be able to add to what I've suggested, or come up with an entirely better solution altogether.