can you explain further? a video would help. there was a recent post at the advmenu forums about a similar problem. the guy seems to be a non-english speaker and just used online translation.
how bad is it? is there on-screen garbage while transitioning from menu to game (and back)? from what i understand, advmenu holds/releases the screen depending on this setting:
display_restoreatgame NO|YES
if NO, advmenu keeps control of the screen and displays the preview type according to:
ui_game none | snap | flyers | cabinets | titles
the emulator will be the one to reset for its own use. i'm sure advmame is capable of doing it for itself.
now, in between the front-end and the game, there is an unavoidable delay due to loading and decompressing large zipfiles. is this the "switch" you are referring to? it can be hidden with a game snapshot as outlined above. this is very noticeable when running advanceCD from cd.
in windows, you can try lowering the desktop size, display_size, and display_overlay, to somewhere close to what resolution the games use (or its multiple, neogeo on 640x480 for me).
good luck.