NTFS won't make any difference as far as mame or mamewah. You will never notice any difference except NTFS basically runs it's version of scandisk behind the scenes so you will never notice it's happening. Basically NTFS is a newer more efficient file system so if your using win2k or xp and don't dual boot with win98 you should be using NTFS imo.
Edit: That's correct, scandisk will never run at startup if you switch.