Do you use autohotkey and/or launch your games indirectly with a batch file?
This caused problems at my end; disabling any autohotkey scrips and launching the games directly from the emulator can help. I launch Naomi, Dreamcast and Atomiswave games through Maximus Aracde (emulator frontend) and this works fine: launches directly in fullscreen.
However Gaelco and Hikuru don't launch in fullscreen, this seems to be a bug; they go fullscreen after pressing alt-enter though.