Pausing the game when "alt" key is pressed is not a feature but an interference. It activates the menu control by keys (you know this from any other windows application that has a menu). You can't see the menu, but it technically exists.
You have two options to prevent this behavior:
1) As you said it correctly, if you can live without a caption bar, just untick this option under "Window Properties". Without a caption bar the menu isn't created and "alt" doesn't enter the menu-key-control-mode.
2) If you don't use the controls to navigate the player, or don't use all of the controls, set one of the unused ones (e.g. "Brake" if you don't do a racing game) to the "alt" key. Then add the following event to your event sheet.
+ MouseKeyboard: On key Alt pressed
-> MouseKeyboard: Set control "Brake" of player 1 to 0
But this also means you can't use the "alt" key for anything else.
EDIT: You may of course also just create a new control (e.g. "nomenu") and set that one to "alt".tulamide2012-07-03 13:09:59