It seems that the full screen mode requires that the video is actually played. When your code tries to switch to full screen mode, the media player has probably not finished his startup.
So you have to wait until the state has changed. This can be done using the IWMPEvents::PlayStateChange event (Windows)
]. From inside that handler activate the full screen mode when the status changes to playing (I did not found a description for the C++ status values but playing might by a value of 3 according to PlayStateChange Event of the AxWindowsMediaPlayer Object (Windows)
See Handling Events in C++ (Windows)
] for an example on handling media player events.