I am seeing this as well “recently”, but I do not recall this being an issue before some of the more recent updates… so I will tend to agree with you, something has changed for the worse.
I have always typically run in Window Mode (for whatever reason), and I am reasonably sure, this focus issue, and the need to click twice on some menu items, when changing focus between screens, did not exist last year.
And yes, its starting to get “annoying” – mainly because it should not be necessary.
My GUT feeling is that it has something to do with XBOX compatibility, or at least some change that was made to support Xbox – no proof, just a “Gut feeling” based on a number of Xbox functions.