The hotkey conflict is essentially unavoidable, since MAME has a bajillion hotkeys and so does RetroArch. If you need to use MAME’s hotkeys, though, you can always use game focus mode in RA to pass all keyboard events to the core.
The extra lag thing turned out to be not really a thing, AFAIK, and was based on differences in how input is handled in a pause+frame advance situation. I don’t think RA is any faster (esp now that MAME have added their low-latency option; bgfx used to be a couple of frames slower before that, IIRC), but it shouldn’t be any worse, either.
Bezels/artwork, config inis, etc. can be loaded through the MAME structure that the core creates in the ‘saves’ dir (EDIT: see GemaH’s post below for more details), but the artwork will look low-res and chunky that way. We do support loading MAME artwork/layout files at full res with the GL driver’s “video layouts” feature now, but we don’t support automatic loading by game title (yet).
By all means, use whatever you like and works for your needs/setup–and there are a couple of things that don’t work in the libretro core, such as the debugging interface for some reason (console/MESS loading does work just fine, despite rumors to the contrary)–but the core is in pretty good shape these days.