I play windowed too, it stems from when I had to follow a complicated manual-solve tutorial
As far as I know, the sound switching off is due to the application being set that way on development. The other stuff you're thinking of is probably stuff like MSN, Email etc right? These are Windows programs designed to work as windows, whereas SH3 is designed only to work when it has focus. Which it would if it was full-screen. Sort of thing.