I have a new try with the last version and a clean setup.
I have just uncheck "show toolbar" in "view", and all is working.
Perhaps it's because I have an older mGalaxy version, but the script is still the same
hotkeyset("{esc}", "Terminate")
;load application
local $PID = Run ( '"' & $app & '" ' & $command )
;wait for window to be active
WinWaitActive("DeSmuME")
;then set it fullscreen
Send("!{Enter}")
;waiting loop
While ProcessExists ( $PID )
Sleep(500)
WEnd
;exit
exit 0
;*************************************
;functions
Func Terminate()
Send("!+{F4}",0)
Exit 0
EndFunc
The script send alt+F4 when you press escape, try to use alt+F4 yourself to see if it's work ?