Windows (the operating system) puts a fair bit of graphical overhead on the video system. So when you're flying full-screen, G3.x doesn't need to share the video capabilities with anything else. If you're in windowed mode, you're splitting the capabilities of your machine between the sim and Windoze. Anytime Windows needs to draw the title bar, start button, "X" close button, etc. it's taking graphics "power" away from everything else. All sims do this...as do all 3D games (Doom, WoW, etc...)

I tried flying in windowed mode for a while, and the performance loss wasn't worth it to me. In G3.x, tapping the "Alt" key brings up the menus instantly, so I don't see the bother in displaying them all the time. Also, the time it takes to Alt-Tab to switch to another program is still less than the time it will take to hide your Interlink controller from the boss when you're flying at work, so why are you worried about program switching time? FWIW, accessing menus and switching planes, fields, programs, etc. in FS One takes friggin FOREVER...

Hope this helps!
-Case