Just playing around with mine - I note the behavior depends on the skin. If you use the "Abyss" skin, this dosn't happen. Abyss has a control panel which pops up when you rest the mouse on the bottom edge of the screen.
My gmplayer installation uses the same options and config as mplayer does - basically being the same program with a gui frontend. But then, I installed from source via:
www.mjmwired.net resources.
The mplayer in the Ubuntu apt repos is not as full featured as the source version.
IMO: mplayer is not an entertainment system. I use Xine-ui for dvd's and Totem for everything else.