Hi Arthur,
your problem seems familiar to me, I encountered it with the last version of attract mode where I used a second screen monitor with help of a certain workaround and now I have the problem again with the latest version of attract mode when using the multimon plugin.
I do not yet have a solution but there are some things i recognized.
In the older version of attract mode, the plugin did not work for me. However, I was able to display a marquee graphic on the second screen by editing the theme file. I just placed an image with coordinates outside of the range of the resolution of my primary monitor and it suddenly appeared on the second monitor. It basically worked but was not sufficiently satisfying (some graphics were stretched, some not well placed etc.). However, it worked in the frontend and it worked with the emulator running.
But, it only worked with standard MAME. With all other emulators, including Groovymame, Vice etc, it only worked in the frontend and disappeared, when starting the emulator.
Now I use the new version of attract mode with the multimon-plugin and without my workaround. Within the frontend it works perfectly, but after starting Groovymame or Vice, the marquee disappears. I did not test it with standard MAME, maybe this would work.
I can not say this for Groovymame, but I recognized that emulators like vice or WinUAe used parts of the second screen. Vice starts in window-mode and is displayed on both screens.
Therefore I think the problem may be that something else is displayed on the second screen that is irritating attract mode so it wont display the marquee on the second screen. It may be an emulator or maybe also something like the taskbar.
What are the emulators you were using when having this problem?