You're right, it shouldn't do this. I've already changed it in the latest dev build to default to 1280x720 and windowed.
If you want to play now and not have to wait a few days for a new build then you can find the settings file on your PC at: "[Your User]\AppData\Local\InfraRed\Asteroid Miner\settings.json"
Then change "WindowMode" to 0, and "Resolution" width and height to what you need.
Thanks for the report!
