I had the same problem. I checked the contents of the pi and the overlays were downloaded OK and were in the right place. And the individual game config files were also correct. But the MAME bezels were not displaying automatically (I use the MAME 2003 core). When playing a game I would have to go to the overlay option in the settings menu and switch overlays to ON. The correct overlay would then be displayed. It was a real pain manually switching on the overlays in every game.
So I created a core level config file called MAME 2003 (0.78).cfg containing the line
overlays = 1
I placed this in the directory /opt/retropie/configs/all/retroarch/config/MAME 2003 (0.78)/
This made all the arcade bezels appear
However after all this, the bezels were no use to me! The bezel config files do not have any settings for the game video screen size. So in horizontal games the game screen is smaller than the bezel expects. And in vertical games the game screen is bigger than expected, so the bezel truncates what you can see making the game impossible to play. Other arcade bezel packs have config files that specify the game screen size and these ensure that the game perfectly fits inside the bezel for a really good effect. But these bezel packs have to be manually downloaded and manually installed on your pi.
