Yes, you certainly DO need to worry about the video output frequency before advMAME loads.
I have only played with advMAME briefly, but I think most people set it up to play a sound when it has loaded. It is then safe to turn on your monitor (assuming the advMAME video settings have been configured correctly).
It is also possible to hook a relay up the monitor and pc parellel port to turn the monitor on when it is safe to do so, but it's probably more effort than it's worth.