Fullscreen exclusive is a way of taking over the entire display for your program - no other program can display anything, and even the desktop disappears. Hence 'fullscreen' and 'exclusive'. You can then switch to any resolution/colour depth supported by your video card (as determined by PERFORM CHECKLIST FOR DISPLAY MODES).
When you give up control of the display by switching to another process (ie Alt-tab), windows takes back control of the display, and causes all DirectX surfaces, textures and objects to be lost. When control is returned to your program, your program is required to recreate all lost surfaces and to reload all of those lost resources.
Unfortunately, it's not just display related information that's lost - you lose sound, music, input etc - input is easy to recover as there are no resources involved, and DBPro does that automatically, but sound and music need to be reloaded, and maybe even restarted at the point that they were stopped.
Running in a fullscreen windowed mode removes all of these issues. The way DBPro does this is to stretch the 640x480 display surface (or whatever size it is actually set to) to cover a window sized to the full size of the screen.