From here, https://docs.libretro.com/library/mame2003_plus/#building-romsets-for-mame-2003-plus
Step 1: Obtaining an XML DAT¶
DAT files describe the exact ROM contents that the emulator needs including filenames, file sizes, and checksums to verify contents are not incorrect or corrupt. mame2003-plus has the ability to generate an XML “DAT” file from the MAME Menu. You can also access the MAME menu by turning it on as a core option, selecting Generate XML DAT and then disabing the menu as a core option.
I cant find Generate XML DAT option anywhere. I tried loading mame 2003 plus in retroarch and i cant find anywhere the option to generate xml dat.