Alt-Enter is always enabled for Glide, there is no particular option for that. I must admit, it doesn't always work because not all old games pump their message queue so Alt-Enter's get absorbed and unprocessed.
However, windowed mode is not part of the Glide API, so an application can't switch to windowed mode on it own behalf.
If General\FullScreenMode is set to true but the game changes to windowed mode in spite of that then it must be because of an event or fact independent on dgVoodoo: losing window focus and/or having a (child) window on top of the game window or such.

I decided to launch from the desktop and this thing occurs again. The mouse cursor is frozen in the centre of the screen, when I Alt+Enter it changes from windowed to fullscreen but then reverts back immediately.
download/file.php?mode=view&id=103299

As you see in the picture, the window is in the top-left of the screen.

Ok, then I'll check out this game.

Do you play this game with dgVoodoo ddraw.dll and d3dimm.dll copied into the game folder or natively?

For me, natively the game doesn't even start up. With dgVoodoo the video playback is missing, only blank screen (not clear why, but nothing is rendered into the dd surfaces from the game side).
Aside from that, Glide works as expected and I can toggle fullscreen/windowed by Alt-Entering.