Actually I can see it move up to the corner while I'm jumping to full screen mode.
I can confirm this behavior in Windows XP SP3. For ~50-150ms or so you can see the small-version of the window overlayed on top of the full-size window up at the top-left corner, so it's pretty clear the bug starts from the moment you ENTER full screen, not when you EXIT full screen. As soon as you ENTER, the position of the small window is moved to 0,0, so when you EXIT, that is where it appears.
In other words:
1) Small window's top-left corner is positioned arbitrarily at 800,478 (vertical, horizontal)
2) Double-click to initiate full-screen
3) Small window moves to 0,0 and is top layer while bottom layer that is full screen loads
4) Full-screen moves to top and/or small-screen layer disappears in about ~50-150ms
5) Full screen appears normally
6) Exit full-screen
7) Small window shows up where it was moved to in #3, top left, 0,0
Also, and possibly very important for someone trying to fix this:
I've noticed if I let a video hang off the ride side of the screen (so it is cropped by the right edge of the monitor), it works perfectly, and goes back to that spot. It's only when the small video is entirely within the viewable screen-area that it moves to the top left. What's interesting to me at least, is when you move the video far enough right (so say, you can only see the left half of the video), you can still see the little ghost window in #3, but the bug is not persistent. And even then, in playing with it, sometimes after I try to test that, the results are inconsistent -- it's like the bug is intermittent, or based on previous actions (like dragging the window off-screen slightly, full-screening, exiting full screen, etc. but once you restart the player it happens all over again)