I don't know what WM Ubuntu Budgie has but one site said Mutter, so I guess that's the one.
Anyway, I discovered Ubuntu Budgie and several other distro's have WM's that don't like fullscreen switching when the window has a fixed size, and it will prevent the game from going fullscreen. This fixes the issue.
Weird, two fullscreen bugs I found, (and fixed), on two platforms, all in one night. Sheesh.
Nevermind, I figured it out.
@JoshDreamland This is still a huge improvement over the previous behavior, but the only bug I can't seem to fix that is left is if you have fullscreen set to true the in global game settings AND in your gml in the first room's (or object in the first room's) creation event, the window will always be sizeable when switching out of fullscreen.
If you happen to start fullscreen using global game settings OR gml in that same creation event, (NOT and), then it will be sizeable relative to whether the user ticked the global game setting to make it sizeable when in windowed mode, which is the correct behavior.
Since people don't need to set the game fullscreen twice in a row using two different methods, this shouldn't be a huge problem. This should be ready for a merge when it passes.