Hi paranation
I am not sure what could be causing that to be honest my only guess is that for some reason they havent download properly or maybe they have some connection to mugen I would suggest that you make your mugen fullscreen if you havent already and see if that makes a difference and if you dont know how to make mugen fullscreen just go into winmugen then go into data and then look for the mugen CFG file then open it once you have the file open scroll down until you see Video Win once you see that scroll down a bit slower until you see DXmode = windowed all you do then is change windowed to HARDWARE or SOFTWARE either will do then all you need to do is just save it and thats it
I have my mugen on full screen and noticed that they both open in the same way so thats what made me think of it
hope this helps