I could do that, but windowed mode is known to decrease graphics performance. I've yet to see a game where that is not the case. It's a pretty game, and I'd like to play with all the settings turned up, as I do now and it looks and runs great.
I suspect that this Alt-Tabbing problem is just some DirectX setting or callback that is not being handled correctly, and the problem seems to be present in both GPG games that I own. That tells me it's something in their shared graphics engine and it would be nice to have it fixed.