Ok update as I seem to have managed to get this working. The key for me was to follow all the instructions from @SuperFromND at the top of this post.

Once complete, when i tried to load the game i got "No config found for system mugen" and I was sent back to emulation station.

I eventually ended up editing my etc/emulationstation/es_systems.cfg file as per the below

Replace

<command>/opt/retropie/supplementary/runcommand/runcommand.sh 0 SYS mugen %ROM%</command>

with

<command>/opt/retropie/supplementary/runcommand/runcommand.sh 0 PORT mugen %ROM%</command>

Restart emulation station and to my amazement - it worked!

@mitu I got in touch with Steven Selph who wrote it. I think he's on top of things now. I got everything to work on my end, but it seems like the module still might need some work.

@andrewpelt The new version of RetroPie-Setup is supposed to download a new version of go to a non-default location and us it to build the scraper. I did this to hopefully make it more stable. Go has a guarantee that new versions won't break any old code. It only adds new features and fixes bugs, but there wasn't a guarantee that code I depended on wouldn't take advantage of one of these newer features and break everything.

In Go 1.6 they added the ability to copy all the dependent libraries in to my repo so now it will always build. I can't explain why these issues are popping up.

Buzz once again you were right. Changed the bloody Kingston with a SanDisk and workd like a charm

SOLVED