Hi! Thanks a lot for checking out Abaddon. So Alt+Enter does work with the full game. It's possible the Alt+Enter function was disabled for the demo, or it might've been an issue with Steam's overlay, but I'm not entirely sure.
Abaddon is fairly difficult. Getting stuck on a puzzle or having to restart from the beginning using the Give Up function (which carries over your character levels) is pretty much expected of you. It's very much so designed to be like an old NES game.
With that said, the game can be cleared relatively quickly once you know what you're doing (3-5 hours or so), and repeat playthroughs are necessary to experience the full story and unlock everything. Like the store page says, there are over 170 unique CGs to unlock, and finding all of them (or even half of them!) will take quite some time.