I found out what the problem was! =)
For some reason, MAME can't get a full path to a effect file, just the name of the file when it's on /usr/local/share/games/mame/artwork. This is what I get in the commmand line:
I can only get overlay effects when I run the game with this command:
nll@nll:~$ /usr/games/mame -rompath "/home/nll/.Roms/MAME" -gl_glsl -video opengl -nokeepaspect -effect /usr/local/share/games/mame/artwork/Scanlines25x4.png mvsc
Unable to load effect PNG file '/usr/local/share/games/mame/artwork/Scanlines25x4.png'
So, as a temporary workaround, we can get QMC2's output, fix the effect name and run it in the terminal. (Edit: I tried adding just Scanlines25x4 instead of /usr/local/share/games/mame/artwork/Scanlines25x4.png in the QMC2 effect options and it worked too, so there's no need for terminals if we just copy the overlay pngs to the right folder. =])
nll@nll:~$ /usr/games/mame -rompath "/home/nll/.Roms/MAME" -gl_glsl -video opengl -nokeepaspect -effect Scanlines25x4.png mvsc
It looks like a bug. I'll see where I can report it.
(And yes, I do own an original mvsc arcade. ;D)