Yeah I thought that was a little odd as well....
I am currently running atomicfe, and I was running it with the desktop rotated and had a vertical setup in atomicfe, and had told mame to rotate games. This all was working fine, no slowdowns, screen showing up in correct orientation both in atomicfe and mame. Perhaps since atomicfe was handling launching games it was resetting the windows rotation and keeping the rotate setting in mame from over rotating the screen. Because I did some more testing, and with the windows layout in vertical mode, when I launched mame from a cmd window, it overrotated the games as well.
I did a straight install of attract-mode and fired it up and immediately saw these issues, no changes nothing. The menus in the first config were terribly slow, then when it loaded the layout it was even slower (i figured the animations and extra graphics were killing it). Then when I launched a test game it was rotated a further 90'. Yes all very strange.
This is an old dell dimension with built in video, so it doesnt have much processing power to deal with video, which is fine for all the verticals I want to run.
As mentioned when I went back to default screen orientation everything was fine, attract worked flawlessly and quickly, and games launched fine and in the correct orientation. I just need to create a vertical layout, and It seems like it will work fine. As long as I can use a trackball to control it I will probably be switching to it. AtomicFe makes you choose what controls its menus, and I have 3 control panels, One with only a trackball and 3 buttons, One with dual 8ways and buttons, and a dedicated single 4 way panel, So I dont want to have to setup a different front end for each control panel. Especially since I can hot swap my control panels. now to get my trackball fixed.. dang old green happ control board died on me.