This thread goes back a few years, so what worked back then might no longer apply, conversely what was broken may have been fixed. Here's the External players(wiki) with most of the relevant information. I'm using a playercorefactory script as laid out in the wiki for MPC-HC and after the show exits or I decide I'm done and exit the player, Kodi comes back into focus full screen for the next command. I understand that PowerDVD had some difficulties as expressed on their web site https://forum.cyberlink.com/forum/posts/list/49442.page if you're still having issues with PowerDVD that would be the source for a solution.
OTH: you might explore other possibilities or players that some of the threads discuss.