Mame makes a fullscreen display for each monitor, so j5 won't be displayed. (Or at least you won't be able to see it.) If you set the new numdisplays setting in mame in the mame.ini you are going to get a display on each screen with every game, even games that only used one monitor. What you want to do is take advantage of the ini folder and only set the option to 2 in ini files named after drivers with dual screen games. Other than that, It is a sinch to setup.
There is also a nasty bug atm in which mame renders the display twice to the same monitor if you have the number of displays set to more than one but one of your monitors is turned off. I figure that'll be fixed soon though.
I've recently done several tweaks to j5 to ensure that it can run well in an "always on" state on a secondary display. I've been sick (still am) but once I feel up to it I will release the updates.
On a slighty related topic, the new version of pinmame, which is supposed to add dual monitor support, doesn't work at all. It works fine alone, but when you combine it with visual pinball, they interfere with each otehr if the new "fullscreen" option is ticked. However, combined with my vpinball wrapper, which supports dual screens and actually works, it runs much faster than it did in previous builds. See you can set a target monitor now (the only option that works properly), so the pinmame window doesn't send rendering errors for blitting to a window dragged to a different monitor, which undoubtedly has different resolution settings and different direct-x support. These errors are minor and never crashed pinmame, but it slowed it down a great deal.
And btw... the psone monitors in rgb mode are PERFECT for the pinmame display. They are just big enough for the dmd to display clearly and the scaling almost always ends up being a multiple of 2, meaning the interlace mode you have to run doesn't degrade the picture quality.