I'm assuming this is bug rather than a feature. I use Cygwin under XP under Parallels. If you fire up a cygwin shell and go fullscreen with Alt enter the full screen is actually just an hugely enlarged cygwin shell, nothing else, just the cygwin shell. If you de select the Cygwin shell first by clicking the background or some other program and go full screen it works ok. It's 100% reproducible.
