Hey, wow, you did your homework!

There's no wheel that will do all the MAME games
and all the console games. Many arcade games used a free-spinning, 360 degree wheel. Others used a wheel that only turns partway around the circle, commonly referred to as a 270 degree wheel. PC and console wheels are of the 270 degree variety. If you go with the 360, forget about console useage, they use totally different technology and cannot be converted. They're also really only useful for the MAME games that originally used them- trying to play a 270 degree game with a 360 degree wheel is less than satisfactory.
If you go with the 270, a PC wheel can be made to work with MAME and probably your console emulators, but I don't know if there are any wheels out there that can be plugged into both the PC and your real consoles, or if there are any multi-console wheels, or any adapters that support wheels. I'd poke around places like lik-sang and see what's available in the steering wheel market.