This bug happens in version 11.14.19_c474af8, but not yet in version 11.14.19_b1d4aa4.
When switching from fullscreen to windowed mode, the window is resized properly. But then exit and start NeoLemmix again: While windowed mode is still used, the window size is now the full screen size, not the size as written in the setting file.
Can reproduce this, but so far have had no luck determining the cause, let alone fixing it.
Spoke too soon. Fixed in commit 5d9115e.