The link is pointing to /mnt/ntfs, not /mnt/sda. Here's how I fixed it.
# Copy mame2003plus samples to this folder.
$ mkdir -p /mnt/sda/rpi2jamma/roms/arcade/samples
$ cd /root/.config/retroarch/system/mame2003-plus
$ ls -l
lrwxrwxrwx 1 root root 40 Mar 21 14:14 samples -> /mnt/ntfs/rpi2jamma/roms/arcade/samples/
$ rm samples
$ ln -s /mnt/sda/rpi2jamma/roms/arcade/samples