1. From the core you are using..I am assuming you are on a PC.
2. mc2programmer is correct this is a retroarch "problem" it has nothing to do with attract mode.
3. Following mc2programmer advice then save configuration for the game..
I believe that will make a config file for the game and load the shader(s) on game launch. However again this needs to be asked on the retroarch forums if you need more help.