You're absolutely right that MAME doesn't support e.g. snap_1.7z, _2.7z and so on.
As I said, progetto snaps do not provide ONE archive for let's say flyers/whatever. The page usually provides multiple ones....several 7z archives...sometimes one older version plus several update archives...or a recent version split up in several 7z files.
To use them, you need to combine them. So either unpack all 7z files and repack them in one giant 7z or keep them unpacked.
For validating you have to follow the correct storing method which was described earlier
A) rompath\setname\file 1 ... file n for decompressed sets
B) rompath\setname.zip (or .rar/.7z) where the archive contains the singe files for the specific set.
So let's assume you've downloaded snap_1.7z etc and unpacked it to a folder, you need to be sure that the folder is named "snap" since this matched the setname in progetto's datfile. And as we know, sets are stored in rompaths, so your rompath needs to be the parent of it.
If you repacked the single pngs to a new zip (actually, standard zip is < 4 GB), ensure that you did not include any sub paths. So the archive needs to hold the png without any folder.
Then again, your rompath needs to be set to the folder holding snap.zip.
All you need to do is follow the A) B) rules above and understand what your rompath is