In the display menu of the config, there is a switch to use full screen RTG for this. There is also a key combo to force it into full screen (F11 or something, can't remember off the top).
If noone adds my missing data, I will post it when I get home. Otherwise, the key combos are listed in either the readme or the docs directory.
PS. Love The Settlers, wonder if I can get two mice working in E-UAE and play two-player like I used to...