Yeap, I can confirm this happens with me also. I'm running MAME 0.188. Not using any front-ends. When I try using OpenGL, I can't switch to other windows when using Alt+Tab. It just keeps the focus on the game. However, you can use Alt+Enter to switch it to a window, then use Alt+Tab to switch to different applications
Windows 11 64 bit OS
Intel Core i7-10700
Nvidia GeForce RTX 2060 6GB
32GB DDR4 RAM