I am trying to make a Retro gaming device with MAME. But I have to know that is it okay to make such device with Raspberry Pi? Can Raspberry Pi take the pressure of gaming for a long time? Or it will cause problems or damage the device?
I know for fact that the Pi3 can run RetroPie quite nicely (I have it running on two Pi3s in my house), so I suspect that the Pi4 will do even better. I've spent quite a few hours straight playing several different games. Even runs Kodi spectacularly.
Does the Raspberry Pi support MAME?
Yes, and No. The Raspberry Pi doesn't currently run the latest version of MAME that well, as the code isn't optimized for that platform, as well as the Pi having much less raw power than is found on many modern PCs. That said, there are many forks (variants) of MAME that run very well on the Pi - many people find it is more than adequate of running the vast majority of games that MAME supports. This is why you cant simply use the latest romset versions on the Pi, you need the versions that are compatible with the emulator you are using.
You might want to test it out for yourself and see. With the added resources of the Pi4, things may just work.