Standard full screen is accesible by pressing F11.
Windowed full screen is accessible by pressing F10. Windowed full screen can be handy in constructing overlays without a second monitor.
Exiting full screen can be done by pressing F11 or F10 again or pressing Esc.
You can close CaptureAge by clicking on the X button in the top right of the window, or if you are in full screen you can press Alt + F4 to immediately exit and hide your villager zooming obsession.