We don't know anything about your system configurations (always a benefit to share that when asking for assistance), but my guess is you're running XP with a desktop resolution of 800x600 and your general sim screen resolution is at 800x600. But here's the thing, no matter what resolution you choose in CFS2 Hardware Settings for general sim play, the sim will always automatically load all screens in 800x600. So if your desktop res is 800x600 and your sim res is 800x600 and your screens are loading at 800x600, there's no need for your OS to refresh the desktop automatically after unloading the sim. And sometimes depending on specific system settings your system will retain program dll's in memory even after exiting the programs, in your case those that control the CFS2 screens.
What you should do is change your desktop res to 1024x768 (the next step higher) and do the same for your general sim play. This will force the desktop to refresh automatically and dump the 800x600 screens after unloading the sim on exit. There are system tweak programs that allow you to change system settings in the registry, like unloading all dll's after program exits, but you can look into that also later if the resolutions tip doesn't work.