Same thing here with full screen search.
I tried everything to change it. ALT+ENTER, the search settings, everything I could find. Nothing worked.
I searched to see if anyone had any ideas about this, and nothing.
Then I used the feedback link in the full screen search to complain about it, and state that it was crap that there was no option to change this.
Then magically after that it was no longer full screen when pressing WIN+S. It's now back to the original small window.
So now ... I don't trust Windows anymore. They're watching man... THEY'RE WATCHING!!!!