For Divinity, it was a technical reason. The way the "pixel engine" worked, talked to your graphics card and used the screen and its resolution, made a windowed version unreleasable/unreliable.

More current gen games often lose performance when run in windowed mode, and allowing windowed mode also often triples the amount of support mails you receive ;)

A game uses so much resources of your computer that the experience of your other desktop apps will become so bad that it is also often not allowed. Or: running desktop apps will take away resources of the game which might again cause issues.

For instance: try alt-tabbing out of old games and sometimes even new games. Old games either didn't allow this, or they crashed. New games allow this thanks to better coding, better Windows/DirectX "support" for such things, and more resources. It's kind of the same, technically speaking.

So yeah, there are technical reasons, but with current gen hardware and well-written code it should be doable. The only thing that's left then, are esthetical reasons and the whole "emerging people in the game world" idea.

When we release our next games, I will propose enabling windowed mode and see what comes out of that discussion ;)