Atari ROM files are no longer automatically installed with Gym (or more specifically ALE-Py, which Gym depends on).
AutoROM automatically downloads the needed Atari ROMs from ROM hosting websites into the ALE-Py folder and Multi-Agent-ALE-py folder in a very simple manner:
pip3 install autorom
AutoROM
The specific ROM websites AutoROM pulls from are atarimania.com and s2roms.cc.