It should be fine. I know a number of people using 360 pads without issue with current mame. Have you made sure joystick is enabled in the mame.ini and/or mameui options?.
On another side-note, is Mame able to run outside of launching into full screen mode?
I have dual monitors, and have set it up so i can play games in one and still observe other things if need be, but MAME always launches into full screen mode, and doesnt allow any outside management, without quitting a game.