The new 2.0 version of ePSXe is most definitely worth upgrading to over 1.9.xx. The base GPU video core is a vast improvement over the old Soft driver. You can now scale the resolution if you want (2x and 4x), adjust brightness levels if needed and has hyllians and lottes awesome shaders built right in with zero performance hit. This for me is by far the best way to run 2d sprite based games with a retro feel without being too blocky and ugly from upscaling. The old Soft plugin caused major issues for me on my amd powered laptop and was unusable.
One other great feature of this new version is the ability to have a per game settings so you can have a setup for 3d games and a setup for 2d sprite games.
As for switching from Retroarch using the mednafen core to ePSXe 2.0 that's going to come down to personal preference. Personally I wouldn't bother, RA just has way better options with the shaders being much better looking, the RA menu for quicksave management and easier disk swap from the couch with a controller.
Performance wise ePSXe is much better than RA (Medanfen). On my relatively lowend laptop hooked up to the TV I cannot run RA (Mednafen). The performance just isn't quite there, games run about 49-50 fps even with zero shaders. ePSXe however with hyllians shader runs at a full 60fps butter smooth.
On my laptop I use ePSXe and on my gaming computer will stick to using Retroarch Mednafen and an awesome tweaked out shader preset that looks amazing on 2d games. I don't play any 3d stuff from that era, it's just too damned ugly for me to go back to. I hated that era of gaming when I went through it back then and I hate it even more now. The 32-bit era should have been about amazing sprite work and cd audio over horrible low polygon count and extremely low grade textures.