Well....I need a bit more information about your used settings.
First of all it would be intersting to know what databasis you're using.
For MAME it would be best to directly import the data from the (latest) MAME binary. (Profiler->Create...). Maybe you used a datfile with no chds listed (just a though).
Secondly, for chds you need to enable Scanner -> "You want to scan" "CHDs" (plus the rest of course).
So if your databasis got chds included and you go that option enabled, you definitely get information about missing chds (there's one additional filter possibility for chds though, Scanner->Hash & CHD -> Available regions, but they should all be enabled by default anyway)
Since years, there is no MESS anymore. MAME integrated all MESS sets/core, so yes, they can be audit by running a simple current MAME scan.