I have the same issue. Except I've select Screen Capture > On top > Never, and still can't switch between without minimizing KMPlayer first. Any suggestions? This just started happening, and it is very annoying.
The correct way to remove Always on top option is: right click the KMPlayer area > Screen Controls > On Top > Never. Check Never and then the option will be disabled. You have an image attached to see exactly where the option is located.