This is not a game bug, but a design feature of Windows. Pressing the Windows key while a DirectX game is running serves to minimize the game, but fails to bring up the Windows Start menu, which is the sole function of the Windows key.
The Windows key was never supposed to reset the focus back to the original application it minimized. The act of minimizing is a function of Windows itself as pressing the 'Windows' key is requiring the focus be changed to the 'Start' menu. DirectX happens to block focus changes on games running in full window mode.
Any other behavior is quite accidental.