Where I can help it, I don't play old games on HDMI so can't comment on that world.
Been playing on the PVMs / Supergun a lot more lately, so just your standard IO board outputting to RGB. And just a HAS supergun doing the same.
Both Supergun/MiSTer using Tim Worthington adapters going into the SCART switch.
According to @invzim you get much better colors/depth from HDMI to VGA dongle on the MiSTer than with regular IO board: https://irkenlabs.com/jvs-pac2/mister-for-jvs-crt-cabinets
Might be worth a shot to see how it affects your experience!