I don't use CP and have the same problem 30% of the time. You just see the windows start button on top of the skin and no focus.
For some reason the lack of focus when exiting a game seems to have just gone away, when it was happening all the time, and I have updated nothing!
To help with this for those who can't / haven't resolved it, when doing your control buttons consider an alt+tab mapping, which can be generally handy.
I have
start 1, coin1, pause, coin 2, start 2.
then holding start 1, the buttons shift to
coin1 = alt+tab, pause = tab, coin2 = enter, start2=escape
then with a trackball and two concealed mouse buttons under the control panel, they means you can pretty much control every operation one needs to do without an excess of buttons; i think 5 admin buttons is reasonable on a 2-player.