Ok I just spent some time with this to figure it out and hopefully this works for you.
First off, run Mame via the command line with the -v parameter,
mame64 -v
don't load any games, then close out Mame and have a look at your command line window. You should see something that looks like this:
Now go to your mame.ini file and look for the # OSD PER-WINDOW VIDEO OPTIONS section, set your screen to the display you want your Mame to output to, for me it was \\.\DISPLAY2
This launched Mame on my 2nd monitor.