You are talking about the DMD. I have a feeling when you setup "vpinmame", you selected "full screen" thinking it meant the table would be in full screen. Not so, that reference in vpinmame refers to the DMD only.
Just run the vpinmame setup exe, select "setup paths" and unselect that option "always run full screen on this display". I believe that option is useful when you're running the DMD on another separate monitor.
Let me know if it worked.