In Windows, that is the screen/window you are going to see when you choose "New Editor Window (P.I.E) This is expected behavior. If you want to view in full screen, simply choose “Selected Viewport (PIE)” then press f11 to enter full screen. Alternatively, you can choose “Standalone Game,” and type full screen or “r.setRes 1920x1080f,” to enter full screen at that specific resolution.