This has been the bane of FFXI for its entire existence (and still remains unpatched to this day!). Possibly the biggest failure on behalf of SE I've ever seen out of any of their games ported to the PC.

Windower and its wide array of plugins for FFXI originated directly out of that lack of alt+tab support. It is a simple fix but offers a great increase in basic functionality. Never understood how this went completely unaddressed for the entire life of either game so far.