QFT. Try playing a combat flight sim in Window mode using a mouse.
Windowed mode for many games, makes the game .... worse. Any game with scrolling (rts, strategy, anything with a scene bigger than the window.), menus that pop up when the cursor is at the edge of the screen (Sim games, theme hospital, etc) and any game with ui elements near the minimize and exit buttons on the window(you can accidently minimize and exit) would have serious issues with being played in a windowed mode. Not to mention its ugly (immersion matters!). Windowed mode is not an option for most games.