There's a saying which goes something like "progress is seldom made in a straight line" - which basically means you can't really anticipate what you need to do until you've started. But if you're wise you'll minimize your losses. For me that means spending time rather than $$, which is why I am forcing myself to work out the software before I spend too much on hardware.
Last night I plugged the RPi0w into the monitor (I did buy a mini-HDMI to DVI-D cable as I couldn't assume that would work) and spent a bunch of time trying to figure out why the monitor wouldn't display anything. It turns out Lakka sets the HDMI to CEA (TV timings) rather than DMT (monitor timings). This immediately soured me on continuing to use Lakka (which I had started to set up for emulating various consoles) for testing. This probably wasn't a bad idea as the Lakka front end isn't as configurable, so I almost certainly wasn't going to be using it in the final build.
Okay, so back to the drawing board - which system image to use? To make a long story short, I decided to go with RetroPie. It may not be the "best" system image (one of the reasons I was using Lakka is it's minimalist ethos), but it's got decent community support. So if / when I need help I suspect I'll get it.
But going through the docs it recommend for RPi0 to use mame4all (0.37b5) rather than lr-mame2003 (0.78). Which mean I need to re-do the work I've done in putting together the vertical collection. Sigh
So I've re-imaged the microSD card with RetroPie, now I need to get that working & log in to get the xml / dat file.