FS-UAE 2.3.10dev was updated to using SDL2. This changed how fullscreen works by default, and hopefully it works better - it seems it fixes problems for some(all?) users with retina displays.
But the interesting bit for this thread: I've peeked at the repository for the development version of SDL and found this commit.
http://hg.libsdl.org/SDL/rev/8c0afe77a1b2 ("Added a hint SDL_HINT_VIDEO_FULLSCREEN_SPACES to specify that windows go fullscreen into their own spaces on Mac OS X.").
It looks like this commit will indeed add support for the fullscreen button in the window's title bar
Since the commit is already in the repo, I guess it will be available in SDL 2.0.2! (FS-UAE on OS X uses SDL 2.0.1).