Mary will win 2 Euros if both of them play optimally. Frodoskywalker has given a strategy that Mary can use to accomplish this.
Here's why this will happen:
Mary will write down 41 M's, and Ursula will write down 40 U's. By Frodoskywalker's strategy, we know Mary can win at least 2 Euros from Ursula, so Ursula will try to limit it to 2 Euros. Taking out Mary's extra letter (in the center), let's consider the rows and columns of the board in terms of $N(M)-N(U)$. For a checkerboard pattern, we get this:
1 -1 1 -1 0 -1 1 -1 1
1 M U M U M U M U M
-1 U M U M U M U M U
1 M U M U M U M U M
-1 U M U M U M U M U
0 M U M U _ U M U M
-1 U M U M U M U M U
1 M U M U M U M U M
-1 U M U M U M U M U
1 M U M U M U M U M
As you can see, the column numbers and the row numbers each balance out. With some slight changes:
1 -3 1 1 0 -1 1 -1 1
1 U U M M M U M U M
-1 M U U M U M U M U
1 M U M U M U M U M
-1 U M U M U M U M U
0 M U M U _ U M U M
-1 U M U M U M U M U
1 M U M U M U M U M
-1 U M U M U M U M U
1 M U M U M U M U M
Here Mary would win an extra 2 Euros, but you can see that the columns numbers and row numbers still sum to zero. The key to this is noticing that in the second column is extra unbalanced in Ursula's favor, leaving her fewer letters to counter Mary. With this information we can come up with a strategy for Ursula that allows her to limit Mary to 2 Euros.
When it is Ursula's turn, there will be an even number of empty squares left and she will have a choice between at least two squares. The column and row differences will each sum to 1. If possible, she will write her letter in square for which she and Mary are tied in the row and column. If that's not possible, her next option will be to write it in a square for which she and Mary are tied for the row or column and she is behind by 1 in the other. Failing that, she should choose a square for which she is behind by 1 for both the row and column. In each of these cases, after her move she will either gain a row and/or a column or tie it up in a row and/or a column.
Towards the end of the game Ursula will eventually be restricted in her options, but by then Mary will be equally restricted. For example, if the last two squares are in the same row, then even if Ursula is ahead by 1 in that row she can choose the square according to which column is better knowing that Mary will be forced to bring the score back to 1 for that row.
Proof that this strategy works will come in a little bit...