They behave the same only if 1) you're using the exact same version, and 2) they have exactly the same settings. The second is harder than you'd say, because MAME32 has a few defaults different than vanilla MAME. Autoframeskip is disabled by default in one of them, as well as RDTSC (or whatever the spelling is). RDTSC affects performance on all games, it should be toggled to see which setting works for you. For some computers, RDTSC doesn't work. Autoframeskip should be disabled in framebuffer-based games like KI to avoid choppy performance.
About games not loading in one, it's either a rom path configuration issue (again, you should use the same configuration), or you're not using the exact same version.