After many months of encountering this issue, I found the cause. Sharing this here in case it helps others in the future.
I was reading the fine print on everything I set up, and there is one plugin I use called ThirdScreen to help manage my marquee.
There is a setting in that plugin turned on by default that can cause this issue:
“Marquee Shift” which must be set to “Disabled”, rather than default “Medium Shift Handling”
Once I set this to disabled, I could open exclusive fullscreen games consistently again.
I do remember removing ThirdScreen at some point to see if that was the culprit, but I must have had a different issue with the inbuilt Marquee function that I forgot about, so when switching back to ThirdScreen I must have mistakenly ruled it out of potential conflicts due to whatever else I encountered with the inbuilt marquee function.
Either way, it’s all sorted now, and something to keep in mind for other users since so many use ThirdScreen for their marquees.
DJ_GLiTCH's post in BigBox Failing to Take Focus of Exclusive Fullscreen Mode (Steam / Native Windows Games) was marked as the answer