Hey Roman, as per topic's title is this a knwon (and right) behavior?
And if so, in this case, how should such a problem be handled, given that there are no files???

Here's my Scanner's reports about latest M. A. M. E. XML (0.238 at time of writing):
MC68705P5 Programmer [folder: 705p5prg - size: 0]
missing set: MC68705P5 Programmer
MC68705P3 Programmer [folder: 705p3prg - parent: 705p5prg - size: 0]
missing set: MC68705P3 Programmer
MC68705R3 Programmer [folder: 705r3prg - parent: 705p5prg - size: 0]
missing set: MC68705R3 Programmer
MC68705U3 Programmer [folder: 705u3prg - parent: 705p5prg - size: 0]
missing set: MC68705U3 Programmer
Sweet Micro Systems Mockingboard Sound/Speech I [folder: a2mockbd - size: 0]
missing device: Sweet Micro Systems Mockingboard Sound/Speech I
Acorn 40 Column VDU Interface [folder: acorn_vdu40 - size: 0]
missing device: Acorn 40 Column VDU Interface
Alto-II [folder: alto2 - size: 0]
missing set: Alto-II
Arkanoid MC68705P3 Interface [folder: arkanoid68705p3 - size: 0]
missing device: Arkanoid MC68705P3 Interface
Arkanoid MC68705P5 Interface [folder: arkanoid68705p5 - size: 0]
missing device: Arkanoid MC68705P5 Interface
PC/AT Motherboard [folder: at_mb - size: 0]
missing device: PC/AT Motherboard
Atari CAGE [folder: atari_cage - size: 0]
missing device: Atari CAGE
Atari CAGE Seattle [folder: atari_cage_seattle - size: 0]
missing device: Atari CAGE Seattle
Sprow LCD Display [folder: bbc_lcd - size: 0]
missing device: Sprow LCD Display
PPP Speakeasy 64 [folder: c64_speakeasy - size: 0]
missing device: PPP Speakeasy 64
Tasc ChessMachine EC Interface [folder: centronics_chessmec - size: 0]
missing device: Tasc ChessMachine EC Interface
CMS High Resolution Colour Graphics Card [folder: cms_hires - size: 0]
missing device: CMS High Resolution Colour Graphics Card
Compis HRG [folder: compis_hrg - size: 0]
missing device: Compis HRG
Compis UHRG [folder: compis_uhrg - size: 0]
missing device: Compis UHRG
DEC 2000 Model 300 AXP [folder: d2k300axp - size: 1mb]
missing set: DEC 2000 Model 300 AXP
DEC 2000 Model 500 AXP [folder: d2k500axp - size: 1mb]
missing set: DEC 2000 Model 500 AXP
Data East/Sega/Stern BSMT2000 Sound Board [folder: decobsmt - size: 0]
missing device: Data East/Sega/Stern BSMT2000 Sound Board
6x09 SuperSprite FM+ [folder: dragon_msx2 - size: 0]
missing device: 6x09 SuperSprite FM+
EXORterm 155 [folder: exorterm155 - size: 0]
missing set: EXORterm 155
EXORterm 155 Terminal [folder: exorterm155_terminal - size: 0]
missing device: EXORterm 155 Terminal
Famicom (w/ Disk System add-on) [folder: fds - parent: famicom - size: 0]
missing set: Famicom (w/ Disk System add-on)
SYS68K/CPU-20 [folder: fccpu20sbc - size: 0]
missing set: SYS68K/CPU-20
SYS68K/CPU-21A [folder: fccpu21asbc - parent: fccpu20sbc - size: 0]
missing set: SYS68K/CPU-21A
SYS68K/CPU-21B [folder: fccpu21bsbc - parent: fccpu20sbc - size: 0]
missing set: SYS68K/CPU-21B
SYS68K/CPU-21 [folder: fccpu21sbc - parent: fccpu20sbc - size: 0]
missing set: SYS68K/CPU-21
SYS68K/CPU-21S [folder: fccpu21ssbc - parent: fccpu20sbc - size: 0]
missing set: SYS68K/CPU-21S
SYS68K/CPU-21YA [folder: fccpu21yasbc - parent: fccpu20sbc - size: 0]
missing set: SYS68K/CPU-21YA
SYS68K/CPU-21YB [folder: fccpu21ybsbc - parent: fccpu20sbc - size: 0]
missing set: SYS68K/CPU-21YB
Gottlieb Sound rev. 1 with Votrax [folder: gotsndr1vt - size: 0]
missing device: Gottlieb Sound rev. 1 with Votrax
Intel 82371AB [folder: i82371ab - size: 0]
missing device: Intel 82371AB
15IE-00-013 [folder: ie15 - size: 0]
missing set: 15IE-00-013
IE15 Terminal [folder: ie15_terminal - size: 0]
missing device: IE15 Terminal
SGI IOC2 (Full House) [folder: ioc2f - size: 0]
missing device: SGI IOC2 (Full House)
SGI IOC2 (Guinness) [folder: ioc2g - size: 0]
missing device: SGI IOC2 (Guinness)
The ChessMachine DR [folder: isa_chessmdr - size: 0]
missing device: The ChessMachine DR
Roland MPU-401 MIDI Interface (ISA) [folder: isa_mpu401 - size: 0]
missing device: Roland MPU-401 MIDI Interface (ISA)
Mephisto Display Module 2 [folder: mdisplay2 - size: 0]
missing device: Mephisto Display Module 2
miniFORCE [folder: miniforce - size: 0]
missing set: miniFORCE
EDGE-1 Graphics f/1 2Mp Monitor (55K/60) [folder: mpcb849 - size: 32]
missing device: EDGE-1 Graphics f/1 2Mp Monitor (55K/60)
Roland MPU-401 MIDI Interface (C-bus) [folder: mpu_pc98 - size: 0]
missing device: Roland MPU-401 MIDI Interface (C-bus)
MSX Cartridge - FM-PAC [folder: msx_cart_fmpac - size: 0]
missing device: MSX Cartridge - FM-PAC
Namco Driver's Eyes PCB stack [folder: namco_de_pcb - size: 0]
missing device: Namco Driver's Eyes PCB stack
Namco System 21 DSP Setup (5x C67 type) [folder: namcos21_dsp_c67_device - size: 0]
missing device: Namco System 21 DSP Setup (5x C67 type)
NES Cart Konami VRC-7 PCB [folder: nes_vrc7 - size: 0]
missing device: NES Cart Konami VRC-7 PCB
Horizon (North Star Computers, 4MHz) [folder: nshrz - size: 1kb]
missing set: Horizon (North Star Computers, 4MHz)
Horizon (North Star Computers, 2MHz) [folder: nshrz2mhz - parent: nshrz - size: 1kb]
missing set: Horizon (North Star Computers, 2MHz)
Number Nine Revolution 512x32/1024x8 [folder: number_9_rev - size: 0]
missing device: Number Nine Revolution 512x32/1024x8
NEC PC-9801-118 [folder: pc9801_118 - size: 128kb]
missing device: NEC PC-9801-118
StrongARM Risc PC [folder: sarpc - parent: rpc600 - size: 4mb]
missing set: StrongARM Risc PC
SG-1000 FM Sound Unit [folder: sega_fm_unit - size: 0]
missing device: SG-1000 FM Sound Unit
Pioneer LDV-1000 Simulator [folder: simldv1000 - size: 0]
missing set: Pioneer LDV-1000 Simulator
Pioneer PR-8210 Simulator [folder: simpr8210 - size: 0]
missing set: Pioneer PR-8210 Simulator
Super Nintendo Entertainment System / Super Famicom (NTSC) [folder: snes - size: 0]
missing set: Super Nintendo Entertainment System / Super Famicom (NTSC)
Super Nintendo Entertainment System (PAL) [folder: snespal - parent: snes - size: 0]
missing set: Super Nintendo Entertainment System (PAL)
SWTPC 8212 Video Terminal [folder: swtpc8212 - size: 0]
missing set: SWTPC 8212 Video Terminal
SWTPC8212 Terminal [folder: swtpc8212_terminal - size: 0]
missing device: SWTPC8212 Terminal
SYS1121 [folder: sys1121 - size: 0]
missing set: SYS1121
Taito MC68705 MCU Interface [folder: taito68705 - size: 0]
missing device: Taito MC68705 MCU Interface
Taito MC68705 MCU Interface (Tiger-Heli) [folder: taito68705tiger - size: 0]
missing device: Taito MC68705 MCU Interface (Tiger-Heli)
Taito SJ Security MCU Interface [folder: taitosjsecmcu - size: 0]
missing device: Taito SJ Security MCU Interface
Mousepacket Designs Colour VDU Card [folder: tanbus_mpvdu - size: 0]
missing device: Mousepacket Designs Colour VDU Card
Ralph Allen Colour VDU Card [folder: tanbus_ravdu - size: 0]
missing device: Ralph Allen Colour VDU Card
VGM player [folder: vgmplay - size: 0]
missing set: VGM player
PPP Speakeasy VIC-20 [folder: vic20_speakeasy - size: 0]
missing device: PPP Speakeasy VIC-20
Want PC Text/Image/Graphics Controller [folder: wangpc_tig - size: 512]
missing device: Want PC Text/Image/Graphics Controller
Here's attached screeshot:

As an exmaple, please have a look at entry
<machine name="705p5prg" sourcefile="m68705prg.cpp"> inside M. A. M. E. XML:
<machine name="705p5prg" sourcefile="m68705prg.cpp">
<description>MC68705P5 Programmer</description>
<year>1984</year>
<manufacturer>Motorola</manufacturer>
<device_ref name="generic_socket"/>
<device_ref name="generic_socket"/>
<device_ref name="m68705p5"/>
<chip type="cpu" tag="mcu" name="Motorola MC68705P5" clock="1000000"/>
<sound channels="0"/>
<input players="1">
<control type="only_buttons" buttons="2"/>
</input>
<port tag=":SW">
</port>
<driver status="good" emulation="good" savestate="supported" nosoundhardware="yes"/>
<device type="romimage" tag="eprom_image" interface="eprom">
<instance name="romimage1" briefname="rom1"/>
<extension name="bin"/>
<extension name="rom"/>
</device>
<device type="romimage" tag="mcu_image" interface="mcu">
<instance name="romimage2" briefname="rom2"/>
<extension name="bin"/>
<extension name="rom"/>
</device>
<slot name="eprom_image">
</slot>
<slot name="mcu_image">
</slot>
</machine>