To the best of my knowledge, the in-game window has never worked unless you use Windowed mode. As far as I can tell, this is because the CoH game client doesn't respect "Always on top". You don't need HeroStats to see this problem...open up Windows Task Manager, do Options->Always on Top, and then take a look at it with CoH. In full screen mode, it won't show the Task Manage, but in windowed mode, it will. Used to have this in the FAQ on the HeroStats website, but of course I haven't resurrected that...yet...
Funny. I don't remember ever running in Windowed mode, always borderless, but I definitely used HeroStats. The memory cheats, I guess!