Under General preferences, there’s a box for Use Combined Application Window. What does this enable?
If you Combine Application Window, then any windows and/or maps you open will remain within the Vassal application.
If you have it off, each window opens as a separate window. Personally, I prefer this method as creating separate windows not only allows me to size and move the windows around separately, but each window also creates a button on the task bar so it’s easy to grab if it gets covered up by another window.