To reproduce:
1. Open attached project "screenmode.zip"
(Note you may need to start the application in Windowed mode for this to reproduce.)

2. Build and Run on Standalone
3. When in application, press '1' to switch to ExclusiveFullScreen mode
4. Press '2' to switch to FullScreenWindow mode
5. Press Alt+Tab

Result: built Unity application remains maximized and positioned in front of other apps, even though the focus is shifted to other application

Reproduced in: 2018.3.0a5, 2018.4.1f1, 2019.1.4f1, 2019.2.0b4, 2019.3.0a4

Note1: on 2019 releases, alt tabbing occasionally results in orange tint applied to the screen for several milliseconds
Note2: 2017.4 scripting does not support screen mode switching
Note3: if switched from Windowed to FullScreenWindow, application behaves as intended