It sounds like whatever you're running in AM loads the game as another process, then exits.
I don't have SFV so it's hard to be more specific, but it would be helpful if you shared the command line you're running. Also if you acquired the game through Steam, there is a "minimum runtime" option that's supposed to be helpful for running Steam games.
I tried setting the wait time and sometimes this fixes the issue sometimes it does not. Its as if the program acts different everytime I start the game.
Here is my setup for PC games. Note every other game works fine. If there was a way to force focus on SFV that would solve this issue.
# Generated by Attract-Mode v2.2.1
#
executable cmd
args /c "[romfilename]"
rompath \Roms\pc
romext .lnk;.bat;.exe
system PC
info_source thegamesdb.net
minimum_run_time 5
exit_hotkey Escape
artwork flyer \Attract Mode\scraper\Windows\flyer
artwork marquee \Attract Mode\scraper\Windows\marquee
artwork snap \Attract Mode\scraper\Windows\snap
artwork wheel \Attract Mode\scraper\Windows\wheel