The Sub Screen is designed to show marquee's, snapshots, your CP, game info and other related media that doesn't require user interaction. The main screen is designed to minimize the MAME game screen and show a menu system for more detailed information such as the game's history, control data etc. some of which requires user interaction.
So you should have the main screen set to show on the same screen MAME is running and the Sub Screen set to a secondary monitor for displaying information while you play.