Maybe I never noticed this before, but I believe this just changed in latest beta for tvOS.
When using PIP and going back to the guide, PIP window shows properly. When selecting another channel, it switches to full screen.
Using stable release, selecting another channel while in the guide stays in PIP (which is what I'd expect functionality to be).
Note - this is version 6.25.116. Build 6.22.310 does not have this issue.