I'm not sure if this applies to everyone, but if I change the setting, the game's graphics get really messed up.
The screen is divided into four, and is tinted purple or green.
It becomes completely unplayable.
And the setting won't change if you reset it to fullscreen.
On top of that, the setting file is doesn't get deleted hen you uninstall.
The only way to reset this effect is to use another bottle, which means another couple of GBs off your HDD, or doing what I did: use Time Machine to restore a version of the bottle before you installed Caesar III.