How do u distinguish borderless or exclusive fullscreen? If u use volume key or Win+G, the fullscreen optimization on win10+ may describe why u got this.
FSO is a feature introduced from win10 that converting exclusive fullscreen to borderless with flip model. When FSO works, u may recognize the game always runs in borderless mode even set to exclusive fullscreen. Sometimes a game is not compact with FSO so the system disabled it, however DXVK may makes it qualified for FSO (how windows detect a game is qualified is unknown, as windows is not opensourced), this is what u see on ur device.
U can use https://github.com/GameTechDev/PresentMon to check the game.

'Hardware: Legacy Flip' indicates true exclusive fullscreen, but not borderless. 'Hardware Composed: Independent Flip' indicates either fullscreen optimized or borderless. Finally, both 'Composed: Copy with GPU GDI' and 'Composed: Flip' correspond to windowed presentation mode. (Quoted from https://www.reddit.com/r/vulkan/comments/m7m7e3/composed_flip_on_windows_10/ )
And only 'Composed: Copy with GPU GDI' will cost heavy GPU resouces for dwm compose. Any 'Hardware' method will not cost performance so u dont need to care whether it's exclusive.

On NVIDIA GPU, set vulkan present method to prefer DXGI swapchain can make most games with DXVK running in 'Hardware Composed: Independent Flip'. I'm not sure whether AMD has similar feature but some articles said it has.

I have Windows GameBar (Win+G) disabled on service level.
I can tell it's Borderless Fullscreen because the game Alt+Tabs instantly now, while before it would take a while.

However I think you are right about DXGI. on AMD, for Vulkan, it is enabled by default according to this discussion (but cannot be turned off by enduser settings): https://community.amd.com/t5/opengl-vulkan/dxgi-swapchain-on-opengl-and-vulkan-games/m-p/618356/highlight/true#M4818

so I guess, it's not an issue and will close this.

thank you for your time!