With the recent March 2016 updates of the Zwift desktop application, the ability to change the user interface from full-screen to windowed has been limited.
On the Mac, the previous option to change it from windowed to full-screen and back has been removed entirely!
But there is a fix! If you open your user's prefs.xml filewith a text editor, you can add or edit the appropriate configuration option to set your Zwift application back to windowed mode, or force it into full-screen mode.
Here is an example of where to update that value:
Setting FULLSCREEN to 0 will enable windowed mode.
Setting FULLSCREEN to 1 will enable full-screen mode.
Good luck and #RideOn!