You will always drop some frames overall just due to the overhead it takes to start up the video, and from going in and out of fullscreen exclusive mode. You might have noticed that your videos stutter a bit when they very first start playing. So it's OK if you see a number > zero. What you want to look for is if that number is increasing while you watch it. If it stays steady while you watch it, you're fine.
Another way to think of it, is that at 60 fps (or 60 frames per 1000 milliseconds), you need to render a frame, on average, no more than every 16.67 milliseconds to keep up the pace. The MadVR OSD will also show you the average rendering time. Watch those numbers too. If they add up to less than 16.67 ms, again, you're fine. If the rendering time is over 16.67, you will likely see the dropped frames counter increasing.
Understand what you can from the MadVR OSD. It gives lots of very very helpful info.