Are you setting the (MacVim-specific)
fullscreen option in any of your configuration files? You can use the following command (in a fresh MacVim window, before taking it out of full screen mode) to find out whether and where it is being set automatically:
:verbose set fullscreen?
If it says
nofullscreen, then this is not the problem. If it says
fullscreen, it should also mention the configuration file that last set the option (it will not mention a file if you have set/reset it manually: e.g. by manually taking it into or out of fullscreen mode). You might need to edit the file named in the
verbose set output (or maybe override it from a different configuration file).