For me trying to get things working this is what I did.
Make sure you have the FFXI Servicer
And make sure your settings are like below, or some what like them.
If you make any changes to the options I suggest you completely close XU and start it back up again, it seems sometimes XU will not recognize the changes unless restarted. But just keep doing that, play around with the settings, it will eventually show up.
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Again the best answer from me since I am no tech guy here, if it does not work one way, change an option, close out XU and try it again with the new setting. eventually you will find a setting that will work for you.
Also I suggest you check to see what video Screen Size settings you have for FFXI in the FFXI Config Tool for the actual game. Maybe that might cause some fullscreen problems. lol no clue though.