It's a windows thing, either way. Cursor snapping in windowed mode is not overly well supported. Generally if you give it focus back, it will snap the cursor again. If you alt-tab out or hit windows key to get out, generally it will leave your cursor alone for the most part (but sometimes it will grab it again). All I do is set on property of something like SnapCursor = true, and windows handles the rest. That's about the extent of the control I have over it.