On macOS with a MacBook Pro 16 attached to 2 external 4k monitors, Screen always goes into full screen mode immediately and I am unable to "exit full screen" with the menu item.
Monitors are connected via USB-C and a TB3-to-DP connector. Laptop screen is also used as a 3rd monitor.
You should be able to exit full screen either via the green button on the minipanel, or if you move your mouse to the top of the full screen window, the menu bar should show up with a button to exit full screen. Do those work for you? We can look into the Exit full screen menu item, but I wanted to make sure the other options work for you.