Ok....where to start....
Some general things...
Merging modes - They define how you can store sets which share a parent/clone relationship. For example there are 50 pacman sets where they usually only differ in 1 or 2 files while the others are identical throughout the sets. Now you have different methods of storing such sets.
"not merged" or "Unmerged" - all sets hold all the files...so a parent holds all the files and each clone holds the shared files as well....in other words....waste of diskspace. Your set count is identical to the set count in MAME.
"split merged" - very common method to store sets. Again, set count matches the total count in MAME. The difference is that each set only holds the file it really needs, i.e. the parent sets hold the parent files and each clone only holds the file which is not share with the parent.
"full merged" or "merged" sets - compact form...you only have archives for the parent sets and they include all clones as well. Archives for clones don't exist.
Ok...next thing....Profiler, Settings, Scanner, Rebuilder...
Profler - for MAME, use the create option to quickly create a database from the mame binary
Settings - for now, used to setup rom and sample paths
Scanner is used to update your sets, fix issues, get a list of what is wrong with your sets.
Rebuilder is an Adder. It's file based and takes anything it finds in its defined source and copies/moves it to a given destination. It's usually used to rebuild sets from one emulator for a different one but is also commonly used for a quick way to add missing files to your collection. The rebuilder doesn't care about names, it can find out what the real name is and rebuilds all instances of the files it matched.
General way to update MAME is to
1) load the new data in the profiler
2) (if not done yet, setup rompaths, maybe sample paths if you need them)
3) go to the scanner and hit scan (default options are fine)
4) you can enable all fix options there and do another scan to fix all issues
5) after that you should only have missing files (which can't be magically created from nothing)
6) add missing files with the rebuilder (e.g. drag'n drop into the scan results window)
7) scan again and repeat 6/7 till nothing is listed in the scan tree window anymore
Speed:
Well, of course the amount of sets and your PC specs play a role. Rebuilding is fast if you don't use re-compression. Scanning is fast if you don't decompress files to check hashes. Virusscanners should be disabled for the romfolders.
You only have some sets, not all....
Generally you should check all sets and don't care so much about endless lists of fully-missing sets. There is an option to hide them. You can only scan subsets of the full MAME set as well...in Set-Information you got several options to only enable some sets.
You mention the rebuilder creates single files for sets you don't have....well...yes it does...it's its main purpose to do so. That's the cool thing about it. Also Scanner's fix-missing option can do that. If a rom file is missing (e.g. for a set you don't have), cmpro looks at various places if it finds it somewhere and adds it. This doesn't necessarily mean you get complete sets by that method...
As mentioned, the scanner popupmenu holds several options to either hide missing sets afterwards or remove incomplete sets.
Puuuh....should be enough for a start....