> I'm guessing this is why MAMEUI doesn't natively support it?
MAMEUI is being "maintained" by people who don't understand Win32 well enough to have created it in the first place, never mind adding any post-Windows 95 capabilities like favorites or jump lists or DPI scaling. This is why MAMEdev has warned people for literally the last decade that they should use a real FE, to the point of including the current built-in one.