I believe that Unity and Full Screen Mode are mutually exclusive in WS 9. As you've discovered, once entering either Full Screen for a VM or Unity for a VM, the other mode is disabled for the remaining active VMs
In WS 7 I ran the same way that you're describing. Somewhere either in WS8 or WS9, I think support for this mode was removed. I skipped WS8 completely so I don't know in which version this stopped working.
In WS9, I just run with Unity everywhere or use Unity + showing the VM in the Workstation UI.