and one exception to the rule:
every new update will force you into windowed mode when connecting to master server, so you can easily spot firewall/antivirus-sw dialogs asking whether the new executable could connect to Internet.
If you did confirm that, or you don't have such FW/AV SW, uncheck the "in window" checkbox somewhere before requesting list of servers, and LFS will stay as is, not exiting fullscreen mode.