well, first you need to decide which method you prefer:
1) X profiles for X sofware lists
2) 1 profile for X software lists
For the first method, you simply load all the software list xmls in the profiler as a batch (select them all, hit load, then the batcher appears). There (misc tab) you can automatically let cmpro create rompaths for you for each profile.
The second method is different. There you got only 1 profile for many software lists. This mode can be used if you directly import software lists from MAME or MESS (it asks you during import). In this mode you have to use system default paths / separated rompaths for each system/software list. The auto-assign option of course only helps you if you got rompaths setup already and got some files in it. Cmpro tries to assign the rompaths to the systems by looking at the files in the paths and tries to do a best-match assignment. If you got empty rompaths, all paths are assigned to the 1st one. So if you start from scratch with no files for the software lists, you need to go through the assignement hell once....