Is it teflon coated? If so you should be careful. Many of the suggestions here are for increasingly abrasive options which will scratch that coating and cause it to eventually flake off, which means it will get into your food, which definitely not something you want to eat
On one hand the grease itself is probably not a food safety issue anymore. Similar to a cast iron pan once oil/grease heats enough on a surface it polymerizes and essentially bonds to the surface. This is generally safe unless the oil is exposed to very high temps (beyond what is typically used for cooking) but it looks bad on stuff like sheet pans
However you do want to be a bit more diligent cleaning as a result. Unlike a cast iron pan where the polymerization layer (seasoning) is generally very smooth this is generally not; it is bumpy and has more nooks and crannies. This means there are more areas where filth and bacteria can be harbored. Not a huge issue, just make sure you clean well.
Should work. Are you using merged, split, non merged? I’m not really familiar with openemu and just looked at a basic guide really fast. Does version match matter with openemu? I assume so. It def can with mame and you want to ensure your rom and bios came from the proper version set (typically most recent which iirc is 0.274) though tbf this probably doesn’t impact a game like metal slug unless your rom is ancient, which is possible if you got it from a rom site
Note that if you do get them to run they run poorly. Mame emulates them accurately but they ran poorly on the original hardware. The frame rate counter will read 100% but it will be choppy. This is accurate behavior. You can overclock the emulated cpu which sometimes fixes this but also sometimes breaks the game