Something should happen if you drag it over. Either it will continue to appear without color or it will regain color. Either way could help indicate where the problem might lie.
Another thing to try would be different versions of SF2. Try JP's 1.0 version. Try another author's. Try a VP9 version. Try it in desktop mode. The results of these things could help separate a VP issue versus a pinMAME issue versus a specific re-creation issue.
You could also try deleting the nvram and cfg files, generating fresh copies. You could even try removing the "sfight2" registry entry if you know how to do that.
Btw, I'm assuming this is only happening to SF2. If you haven't already, you might also try a diifferent Gottlieb System 3 game to compare.
Personally, when I played JP's 1.2 version in fullscreen mode the DMD did indeed have color when appearing on the playfield, so based on what you've told me, I can't replicate the problem here.
Altogether, I think that's about as much help as I can give you. The rest is going to have to be you testing out these different things and maybe searching around for similar issues. Ciao.