This 100% worked when using PC / Xbox Gaming app
- Open Xbox app
- Highlight Sea of Thieves
- Click the three dots near the play button and go to manage
- Click files then browse
- Open Sea of Thieves folder
- Open content folder
- Right click SeaofThieves.exe then properties
- Under the Compatibility tab check Disable fullscreen optimizations and then apply. You can close those open folders now
- Launch the game and start a game load fully into an adventure, legend, or tutorial
- Your mouse should now stay on the screen where the game is, until you hit the windows key