The main reason MAME is so slow is that a major goal of the project is to be not only accurate, but also portable, readable, consistent, and maintainable, i.e. a "reference implementation" of sorts. The kinds of speed hacks that made emulators like NeoRAGE X and Callus kicky fast are somewhat incompatible with this goal. There are still some protection and oddball patches around, but for instance I'm told that the entire system16/18 drivers are being rewritten because they were too full of ugly hacks.
It's also worth noting that MAME runs Psikyo's SH-2 games well by using pretty straightforward (but game-specific) idle loop detection, which offers a huge speed boost. I remember dropping Strikers 1945 III into the driver and being floored by how slow it was compared to Sol Divide. I have no doubt that Saturn emulator authors are pursuing this sort of optimization in a more generic way.