Hi.
I have the same problem, but not only with iTunes full screen, but also I have seen it with eyeTV full screen and with full screen internet videos in Safari.
It does not seem to matter if the application is in full screen mode when I move onto the controlled machine, or if I put it into full screen mode after taking control.
With eyeTV, even if I take the app out of full screen mode, control is still trapped on the controlled machine until I use the ctrl-alt-shift-esc shortcut.