Hello there,
So Fortnite opened in one VM is getting opened in another VM?
Go to Settings > Apps > Startup to view a list of all apps that can start up automatically and disable Fornite and see if that helps.
Generally, you can run multiple virtual machines simultaneously on a single host, and the virtual machines can appear as separate windowed applications or displayed on the full screen. You need a PC or Server with enough CPU cores, memory, and disk to run your multiple VMs.
There are a few applications whose instances can be created just once, e.g. Feedback app, therefore, when you create an instance of this app on a virtual desktop, it redirects you to the previous desktop.
However, you can create multiple instances of applications like MS-Word on virtual desktops. Once an instance of this application is closed, it will redirect you to the previously opened application. This is how a virtual desktop works.
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