I had the same problem. I just googled it and I found the answer. It involves putting something into the game properties on steam. Google "how to get a steam game to open in window mode" and that should do the trick. If still no answers come back to this thread.

This is the first thing to come up when I googled it. I haven't tried it myself so I'm not sure if it works. But there are a couple of methods to try. https://appuals.com/open-steam-games-windowed-mode/

Alt tab to another page, make sure you can see the top bar of the Lego Batman window, and then click and drag up to the top of your screen to make it windowed but full screen. Id recommend getting a second monitor so you can drag it to the other monitor ,and just alt tab to switch between OBS/chat/the game. Hope this helps.