Multiple .ini files would be my guess. You must have either a mame.ini or setname.ini file somewhere with such options turned on. Make sure you are completely clear of .ini files in HLSL folder. For a time, they were automatically made so you might have one there you never intended to keep.
It appears you may have been correct. MAMEHUB creates two HLSL files....one for each console in mess I play, and one *main* MESS ini file. Seems MESS only acknowledges changes I make in the console-specific ini file(snes.ini for example), which is contained in a HLSL folder.
I would like to experiment with these files some more. Anywhere I can go to test other people's HLSL settings?