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Windows 10 and v1.0.2.

Can you try v1.0.3 and tell us if the problem persists? 

Can you launch the game with the "-popupwindow" parameter?

With 1.0.3 the problem persists. Only difference is that the look of the mouse cursor stays like ingame. After killing the process via keyboard and taskmanager, the mouse cursor changes to normal and I can use it again.

(Forgot to test the parameter, is it helpful, then I download and install again?)

You don't need to download and install the game again. Just start the game with the parameter "-popupwindow". This will run the game in borderless fullscreen mode, which makes task-switching (or pressing the win key) more reliable with DX11.