I'm running in vertical mode on a 4:3 monitor. The PiPlay Menu is fine, but when I run MAME4All, it fills the screen left to right, but there is a border top and bottom. I tried adjusting the "display_border= " in mame.cfg. 0 gives me the border as described. If I add something like -30, it fills the top and bottom in but then it goes off the screen left and right.
I think you need to make a right setting for the screen resolution in MAME for each game. I hade the same problem in AdvMame and just needed to set the right screen resolution for each game.
I don't know if it can be done in general so it apply to all roms
I checked more roms and as it turns out, some, like frogger and donkey kong don't fill the screen, while others like galaga do. So I think you are right that I'd need to adjust each game individually, but I don't think that's an option with MAME4All. If you can do that in MAME4All I don't know how or where.