I've never got VCL forms to be 100% compatible with holding DirectX fullscreen renderer (this includes correct handling of loss of fullscreen mode due to user presing Ctrl-Alt-Del or Alt-Tab or backgound dialog popping-up, or ....). So I use special pure WinAPI window for this purpose.

But if you insist: you can try to call
SetWindowLong(YouFullScreenForm.Handle, GWL_STYLE, Integer(WS_POPUP or WS_SYSMENU));
before switching to fullscreen (DX runtime will set window size to fullscreen by itself). And don't forget to change it back when switching to windowed mode.

Isn't Omega already has support for fullscreen applications?