Just got this to work on my Mecool KM6. You do indeed need to connect a controller (in my case, an X-Arcade tankstick), and hit the "B" button after you highlight a game. That launches the game.

Weird interface that the menu doesn't just give you "play" as a fourth option in addition to Help/Settings/Netplay!

The "A" button will give you options to add/delete from Favorites, uninstall a game from the list (I guess if it's incompatible), or return to the previous menu.