Probably the way windows works but maybe you could look into this?
My computer has two monitors, on one I play CoA, on the other there could be something else (say, browser with CoA forum or a youtube video or discord). On the first monitor I only run CoA. In windowed mode I get 5-15 fps, in full screen mode it fps grow to 40-50.
So I would rather play CoA full screen, but is basically impossible: as long as CoA has focus the other screen can show something. Good. BUT at the moment any other window gets focus (say, I click in the browser on the 2nd screen) full-screen CoA on the first screen closes to task bar and I have to alt-tab to get it back (even worse with focus following mouse - it's enough to move mouse by accident to the other screen and CoA full-screen window vanishes to taskbar).
Is there any way to prevent this behavior? It would be really cool to play CoA with more than 5-15 fps...