I just tested on firefox and it doesn't send the "Origin" header when using referrerpolicy="no-referrer". It's also not present when navigating using the url bar directly.
I didn't say it was. Browsers display an alert when full-screen mode is activated. Full-screen mode isn't a security feature, but the browser does something the website developer can't control so that users can conclude that something fishy isn't going on. I think the ability for one website to hide that they've redirected to another is a vulnerability.