Are you starting GW in windowed mode, or starting it in full-screen and then switching to windowed mode? There's a known limitation of CrossOver at this time such that a window can't be converted from having a title bar to not having a title bar or vice-versa. I think that's what you're running across. When you start GW in full-screen and then switch to windowed mode, the resulting window should get a title bar, but that doesn't work.
So, you should switch to windowed mode and then quit GW. That way, when you start it again, it will start in windowed mode and the window will have a proper title bar. To quit GW from windowed mode, you can use the in-game menu or just type Command-F4 (which sends Alt-F4, the Windows "close window" shortcut, to GW). Command-W should also work.