@Stebanskie To start with, find your desktop resolution by right clicking on empty space, then choose Screen resolution.
This should be set to your monitor's native resolution, which will be the "recommended" one. If it isn't, try changing this.
Once this is done go to settings > Video and set the Fullscreen Resolution value to match this, then check again.
As an aside, you mention losing frames playing in fullscreen windowed. This may be the case, but in many/most situations the difference is negligible and won't be noticed.
Thanks.