This worked like a charm for a year:
On my iMac, click “Share Screen” on my MacBook Pro running macOS Catalina (10.15.7). Whether in fullscreen or not, all the Command+Tab keystrokes switched between the windows. Had to use the mouse or something else to switch to host windows on the iMac.
Then maybe when running update to macOS Big Sur (11.1) this changed. Pressing Command+Tab always switches back to the host instead of switching between screen sharing windows?
The MacBook Pro is still on macOS Catalina for a while.