That's not possible at the moment I think, and if someone played a game under window mode they usually had a reason to, like for example wanted to execute some other programmes alongside the AGS game, so I don't think locking the cursor to one window is a very good idea.
However I know how frustrating that in many AGS games, sometimes you need to click really close to screen edges, which was quite hard in gereral if you play them under window mode. So I think it's the responsibility for those who are making the games to make sure that you won't need to click really close to edges, actually they should have tried it when testing their game.