@bowman I have never had to use any additional software for file access from my Mac to Pi3. I have always just used the Finder, Go menu etc.
That said, you may have a folder permissions issue that you could check using command line. It will be in your long term best interest to pick up some linux command line knowledge and try connecting to your Pi with SSH. You may need to use the pi config to enable SSH, but once done, you can get in using Terminal. Try ssh pi@retropie.local and use the password raspberryto login and now you can navigate with command line to check permissions, delete files that are not visible from the Finder, etc.
Or you could try resetting the ROM directory permissions using the technique in the FAQ. This would be a lot easier if it fixes things.