if you want me to be honest....
I think it's a dumb idea, for the reasons I've already mentioned.
You can get video from... well videos... there are over 300 attract mode videos and the number is growing. Why waste computer resources running mame? Besides, if you've ever looked at the mame source code you'd realize that it's quite impossible to only run the video. You have to emulate the entire system to display the video properly, so your idea flat out won't work. The only way to get video from mame is to run mame; enough said.
Windows programing and programming for other platforms are worlds apart. ActiveX is a web (and optionally vb) only type of plugin. What I find funny is that you don't know this... it's basically window's version of java script.

DirectX is part of the windows core. You call it via the api, not plugins.
To be honest, java is a bad choice for a programmer that has never programmed for windows. Out of all the languages, it's the most unfriendly in terms of communicating with the windows core and other functions which are absolutely necessary for even the simplest of front ends.
I'm not saying it can't be done, because it can and it has.... it's just that you have to really know java and really know the "windows version" of java to make a decent fe.