Oh, that is an easy answer. To save on computer resources.

When a program is in full screen, the OS is put on the back burner and more RAM and CPU usage is geared towards the game. That is why when playing a full screen game for a few hours, it takes a while for windows to 'load' and start working like normal again after exiting the game.

It is sort of like hibernating windows.

Every time there I run into trouble on the road, there is always a dwarf at the bottom of it. Don't they know how to drive above ground?