I think it depends on what you're emulating. If you're amulating games that run on a purpose-built hardware like NES, rolling the runtime into each game so you could run mario.exe instead of loading throgh an emulator would mean duplicating a lot of the emulator code into every game.exe. In a sense, the emulator is already the reverse engineering job an agent would do anyway.

If you're emulating a more general purpose machine, like an Xbox, PS3, etc. which essentially are computers in a fancy box, then that wouldn't duplicate much into each game.exe and should lift performance too.