GroovyMAME has a workaround for this issue, although it's a bit of compromise. Upon an alt-tab or windows key press while in full screen mode, it automatically sets windowed mode. After that, once you alt-tab back to GroovyMAME, in order to return to full screen mode you need to manually press alt+enter. This trick allows consistent behaviour across all renderers. I had to make this when support for bgfx was added.