Interestingly I just reinstalled everything to hop back in after a couple of years away and suddenly have this same issue. Clicking on the screen in certain areas near the border drops it out of fullscreen mode.
There is a post slightly farther down the page on "clicking through"
https://www.project1999.com/forums/s...ght=fullscreen
This seems to address the issue. Basically it's a setting in your video modes, from what is being said there. I changed my game resolution to match my desktop as one commentor mentioned there, as well as my refresh rate and it appears to have fixed the issue. Hopefully it helps, if you haven't fixed it already.