You are right, it should not be happening... and it's sort of not.
I tried six games this morning, well now zelda does not exit, just goes to a window. as did all the others except mario kart.
The first time I ran Mario Kart (of the morning) it exited out, so I tried it three other times. After that first time it just goes down to a window.
I ran them full screen as the shaders compiled and once windowed as the shaders compiled then went to full screen, just to see if maybe that had something to do with it... Nothing.
It's a mystery for the ages.
It's not a big deal, Just odd. I will try to dig up a script.