If you've already played a game, changing the screensize in the emulator while not in-game will not overwrite the screen settings already chosen, so you'll have to change the screen size in-game for every game you've already played, or you will have to delete all of the old settings in E:\SAVES directory for the NES.
When madmab's version comes out soon, he fixed that. If you change the screen settings outside of the game, it will ask you if you want to overwrite these settings on all of the games. (If you have a lot of games, like over 1,000, this process could take a few minutes to overwrite all of the settings).
This was a idea of mine back in the day once I figured out (or madmab told me) how the screen size thing worked. I figured, not only did I have a ton of games that were the wrong size and this would fix that, but this could be a great tool to use if you play the Box on a different size TV someday and all of the screen resolutions were bad and needed to be resized. Instead of having to change thousands of screen settings individually or deleting all your saves and starting from scratch, wouldn't it be great to just have the emu fix them all for you in a few minutes?
Look for the Madmab Edition of XPORT's mednafenx_nes coming out soon.