Sorry I wasn't precise enough in my explanation: to enable box art mode, you also need to go in the Attract Mode menu, "Emulators", select the emulator that needs box arts and then in the "System Identifier" field you need to add "Console". So if for example your Sega Genesis has a system identifier "Genesis; Megadrive" just make it "Genesis;Megadrive;Console" and it should work.
In a perfect world AM should be able to set "per-display" settings, when this happens you will be able to tune each display with its own settings, but until then I thought this was a good workaround, so if you add "Console" to system identifier you'll get boxart mode, plus if you add "Handheld" you'll get non-stretched snapshots