Hello Everyone,
A small "add-on" on this guide that personally helped a lot.
In Version 13.5 make sure to Disable "Remove Quotes", "Remove file extension & folder path" & "Remove space before ROM" (which in my case at least come enabled by Default)
As well if you are lazy (like me) and you don't want to import all the *.gam files 1 by 1 you can go in File Explorer - Search with "*.gam" (without quotes) - Drag & Drop Inside Launchbox - Make sure to choose "Use the files in their current location"
Note.: To prevent wasting time I tried with "Symbolic Link aka symlinks" & "Hard Links". It does not work