There's a topic about it already
here -- note from the subject that most people don't seem to like it. I think it can have its advantages -- no accidental clicking out of the game window -- but it could be a bit annoying for sponsor games when I like to have multiple windows open at once and click between the various games based on what's going on. Of course, I have ABP, so I don't have to deal with the ads. I notice no difference in loading time for the games.