There's an easy fix for this
 
	Retro808 is correct but a little confusing here's the easier process
 
	Select Kega as your emulator
 
	Got to the "Tools" menu in Launchbox
 
	Select "Manage Emulators"
 
	Edit Kega
 
	Got to the "Associated Platforms" tab
 
	And here you'll see your fullscreen problem clearly
 
	Just delete the -fullscreen parameter for each console and Kega will not go fullscreen
 
	I'm not a big fan of Retroarch in Launchbox; and this worked well for me