It's worth noting that only the DOS and Windows versions of MAME run as a single thread.
However,
XMAME (a port of MAME to use X-Windows for *BSD, Linux, etc.) is multi-threaded: one thread for the emulator and one thread to copy the rendered screen to the framebuffer. XMAME will therefore benefit from multiple CPUs or multi-core CPUs already. So much for Windows being better for MAME

Come to think of it, Windows MAME does benefit somewhat from multiple CPUs. In a single CPU system Windows programs compete for CPU-time. For example, a virusscanner running in the background competes for CPU-time with the MAME program. Now, on a multi CPU system one CPU can run MAME and the other CPU can run the virusscanner and system daemons. This way MAME will not need to share CPU-time with other programs.