It apparently only runs windowed when resolution is smaller than your monitor display.
I'm still trying to figure out how to run it on my primary display monitor rather than the small side monitor.
If the monitor res is equal to the resolution requested them it isn't possible to fit it on the screen with the titlebars too, hence it switches to fullscreen.
It should run on your defined main monitor in Windows. If it is opening on another, check that you have not set that as the main monitor.