[Wintermute0110]

This is exactly the answer I was looking for. So, indeed, the windows focus seems to be the problem. I think for some reasons, the new fullscreen window was not getting the focus and therefore none of the keyboard and joystick events were passed to MAME. After adding openbox, it just works !!! Thanks a lot for your help.

So, I've update my tutorial and, thanks to that last piece, it's in version 1.0 now !
For the record, here is my tutorial on how to build a Kodi with Mame, a USB hard drive, put a joystick and plenty other niceties on a ODroid XU4, including OpenGL and OpenGL ES: https://github.com/yimyom/odroid-xu4-setup

OK... I saw the first version and OpenBox was not there, then I saw the new version and OpenBox was there and I got confused

Your tutorial is very nice, if you don't mind I will advertise it on the first thread of the post. Also, if you don't mind I will canibalise some parts for my tutorial (installing Linux on a NUC/standard PC with the ROMs and assets in a NAS as opposed to a USB hard disk). Of course you will be credited.