It's a known bug and won't be fixed until the final release.
A solution might be to set a batch file as a shell instead and have the bat wait a few secs and then launch DK.
I haven't gotten the time to test it yet, sorry.
(In case you were wondering, my mame cab actually runs an uncompiled version of dk in "developer mode" This way I can squash bugs that occur in a real life environment.)