Kinda make sense, I mean only exclusive fullscreen can do it (the game has full control of that and it change back when you quit), in borderless you'd need to change the desktop resolution and that's messy (could stay stuck if game crash)
And windowed it works cause it's, well, a window.
And fullscreen exclusive is dead because it's worse than borderless
iirc, fullscreen here is borderless
Borderless is actually maximized bordered