That's an engine bug that never got fixed sadly. You can try and lower the resolution first (or make sure it's running your desktop resolution), click Apply, then change to borderless after.
If that doesn't work you'll have to edit the settings.txt file manually, located in:
Steam\userdata\ your account number \688130\remote
You will find the option DisplayMode right at the top. 0 for windowed mode, 1 for borderless, 2 for exclusive fullscreen.

(Maybe I can add a -borderless launch command/ parameter which you could set in the right-click Pogostuck properties here in Steam. The disadvantage would be that people would have to remove that parameter again later on.)