Not sure about ancient versions, but I'm pretty sure I had scanlines full screen when I was playing with MAMEs in the 0.80-0.90 range. Every version after that should support it, although the way it works was changed at some point with the rewrite (0.108?).
You should be able to disable the general game info screens in the ini, and as for screens like "The colors are not 100% accurate" and the like, I think those can be disabled in the older versions of MAME as well, though I'm pretty sure you need to use the no nag/hi score diff to get rid of it in the newer versions.
Hope this helps.