yeah - because your running in "windows" display versus exclusive mode. Though that's not a bad workaround.
"Simply reloading" all the resources and trying to get them exactl how they were means you need to track EVERY THING outside of GDK, like opbject position, rotation, filenames, any steps like rotate + fixpivot etc.... ITs a PAIN...
In fact, looking into directx, this issue happens, but you don't need to reload everything, you just need to "recreate" the surface and just tell directX what stuff comes from where in memory again. And render as usual. that's the impression I get. This is a frustrating deal.