Yep, I have the same issue you're facing, as I favor playing fullscreen right now.
What I do to prevent the going back to desktop, is setting up ingame, every time (yep, annoying) the resolution. Going into options, yadda yadda, and selecting fullscreen and the resolution I want the game to run at.
Works for me... hope it works for you. Annoying, yeah, but that's what I got working. =/
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