It is possible in DirectX to disable the Windows logo key (activates start menu), but I believe the default is enabled. Perhaps that should be disabled by default though, since it is so close to the Ctrl Alt and shift keys that it would suck to push that in the middle of an action online game and lose window focus.. Or in the case of full screen mode a complete window minimize. Linux has no notion of these kind of keys.
The linux version of OIS creates an AltTab combine internally to release the mouse and keybaord grab so that users can switch out of the app. There would be no other way to release the lock from the aspect of the user.
So, If that key is easily pressed like the windows logo key, it should probably be disabled so that no acidental focus changes happen.. but, something like a deliberate (or at least hard to do) Alt-Tab event should change app focus, or release control of the Keyboard so multitasking is still available.