I might be dumb, but I literally could NOT figure out how to close the program on my Mac...nothing worked that I tried other than just shutting my computer off and on again.
Okay I had this same issue because the full screen toggle doesn't work. Try [Alt+F4] or [Alt+Fn+F4]!
Also, when the app configuration window comes up when you open the application, make sure you select the "windowed" option