New tests with MAME with d3d and Dual Screen:
1. Run verbose under CMD window as instructed. It results in message: "Unable to create the Direct3D device (88760868) "
2. Disabled Artwork > no changes. Same bug
3. Windowed mode > IT WORKS

My opinion so far after tests: looks like occurs when changes the aspect ratio on full screen mode and dual screen simultaneously. Or could be the UI using natively OpenGL and crashes when changes to D3D ?
Didnt see relation with artwork handling.