Scott, those are symptoms of a known limitation of the Mac frameworks. Basically, they don't support changing a window between having a title bar and not having one. So, if the window is originally created with no title bar (full-screen) it will never have a title bar (even if you switch to windowed mode). Conversely, if the window is originally created with a title bar (windowed mode) it will always have the title bar even when it shouldn't (switched to full-screen).
So, the trick, as you've discovered, is to switch to the way you want it and then restart Guild Wars. If you're finding it hard to quit Guild Wars without the title bar, you can use Command-F4 (like the Windows Alt-F4 combo).
The issue with mouse look was probably due to the same issue. Without the title bar, the window is positioned slightly incorrectly. So, the mouse position is probably incorrect relative to the window (it's correct for where the window should be).