This is normal behavior, as Ash mentioned a while back. I don't think it can be fixed, it's just the way directX works.
Let me explain: when you preview the game in fullscreen, DirectX dumps all the other textures stored (which includes the editor). Then when you exit the game it has to reload everything for the editor. It seems like even this takes more time than it should, but I believe Ash said it was unfixable.