MAME and DOS MAME stretch images so that they take up the entire screen. This makes MAME very portable -- it works great on TVs, PC monitors, and LCD monitors. Unfortuneately, stretched images simply don't look as nice as unstretched images. But the only way to display games accurately without stretching them is to run them at the correct resolution, which few monitors can do. In fact, only arcade monitors (or hacked-up TVs) can draw resolutions small enough. The smallest standard Windows resolution supported by PC monitors is 640x480. But the most popular game resolution in MAME is 288x224, over half the size of a 640x480 resolution.
TV's normally run at 640x480 interlace. When you run Windows MAME on a D9200, you get exactly the same resolution, 640x480, except it's not interlaced. The scanline size is pretty much identical between the two displays, which means that they only differ in flicker. Displays on the D9200 don't flicker because they are running at twice the speed, 31kHz vs 15kHz. Personally, I think games look more "authentic" on a TV because they at least flicker a bit. TV's are also easier to work with and cost less money, especially when you add in shipping.
When you run DOS MAME at 15kHz, it simply runs in interlace modes, which as you already noticed produce a "flickering" intensive display. Games will look better if you play them normally at 31kHz. Either way, at 15kHz or 31kHz, the images are stretched to fill the screen like in Windows MAME.
The D9200 is special, though, very special in fact. It would take too long to explain why, but it is capable of running every MAME game at the correct resolution and refresh rate. This can only be done with AdvanceMAME which, of course, only works with certain video cards.
When you run Windows MAME or DOS MAME on a D9200, it's sort of like driving a Ferrari around in a school zone at 25mph. While it's not a bad ride, you certainly aren't tapping it's potential.