Fullscreen mode does not use an OS X fullscreen spaces by default, but you can enable this with the following environment variable:
SDL_VIDEO_MAC_FULLSCREEN_SPACES = 1
You can specify this in FS-UAE Launcher Settings: Advanced Settings. Remember to write it as shown above in all caps.
In order to see individual mouse devices, you may have to go to Preferences -> Security & Privacy -> Input Monitoring, and allow access for FS-UAE, FS-UAE Launcher and FS-UAE Arcade.