I think you're talking about two different things - you've still got to power off to quit each MAME fxe. The soft reset just resets the current game, which is needed to start the Williams games...
Just out of interest, why wouldn't you feel safe about switching the power off to your GP32? You have to do it for just about every other application on it, not to mention switching it off when you've finished playing with it...
Just don't do it while you're flashing your BIOS, or saving games...