Until a week ago I was using Mednafen emulator with Saturn and always displayed full screen.
I just switched to retroarch for Saturn (Mednafen core) two days ago, for me the games play at full screen, only the Saturn boot screen has 1cm on left and right black border.
I thought it was a core emulation issue, but thats not too bad, not a big deal. Attached my inis, I hope this helps you.
On NeoGeoCD some games also display more squared. If its a retroarch issue with Windows, Im glad to hear that it will be fixed at some point.