Is it possible to launch MacVim NOT in full screen mode?

Are you setting the (MacVim-specific) fullscreen option in any of your configuration files?

You can use the following command (in a fresh MacVim window, before taking it out of fullscreen mode) to find out whether and where it is being set automatically:

:verbose set fullscreen?

If it says nofullscreen, then this is not the problem. If it says fullscreen, it should also mention the configuration file that last set the option (it will not mention a file if you have set/reset it manually: e.g. by manually taking it into or out of fullscreen mode). You might need to edit the file named in the verbose set output (or maybe override it from a different configuration file).

In my case it was good enough to comment out the fullscreen part of the config file found under ~/.vim_runtime/vimrcs/extended.vim.

Look for the if has("gui_macvim") in that file and comment out that entire block and you should be able to start MacVim in windows mode.

Side note, I've also turned off the native fullscreen support for MacVim since I dislike it. You can do that via:

$ defaults write org.vim.MacVim MMNativeFullScreen 0

in a Terminal.