The dialog exists to prevent a phishing site from replicating a full-screen impostor of an actual browser (think pretending to be your bank's log in page). It's not really to remind you how to get out -- it's to make sure that you know that the browser is now consuming the full screen.
It's odd that it's not going away though. Firefox has been making a number of changes recently that affect Flash. I can't think of anything that we've done that would have changed this behavior.
Do you have the same problem in Chrome or Firefox ESR?