I think the problem is the way Visual FoxPro reading your exe. and app.
differently. If you start with exe., first thing is looking for config.fpw
which is configuration file, of course. and not existed, the exe. will load
the standard foxpro setting, or the last setting.

So you may create a text file called CONFIG.FPW in the folder with your exe.
file. And in this you may write down :

SCREEN = OFF

and also you must set all form to be .ShowWindow = 2

In main.prg

You should have READ EVENTS to "hold" up the program, at last, when you are going to exit the exe., just issue CLEAR EVENTS

This is the way I do now!
Of course, thank you for you all. Because I know that from this forum!

Hopefully, this helps you!