Tried these exact steps and had no issue with focus. Now, I am not sure what on your use constituted "play Daytona 2 for a long time" as I only played for about 10-15 minutes. Can you replicate this every time?
Keep in mind my set-up is pretty vanilla when it comes to emulation. I tend to not use any extra resolution corrections, bezels, patches, or other software to refine the emulation.