I used to use ZXAM on my real Amiga, and I remember that windowed mode was much, much slower than fullscreen. I can only imagine the same applies under WinUAE. Anyone know why this is? It's always puzzled me.
I use X128 these days. It (obviously) emulates the 128K model, promotes to gfx card screens, supports a wider range of Spectrum file formats, and, vitally, has a speed regulator. ZXAM fullscreen used to run at about 2 million fps on my 060... made games quite difficult.