In split view, when I exit full screen with one window (by clicking on the top left green button), the other windows remains in full screen and is hidden. What is the way to exit full screen for both windows at the same time?
It seems from the apple support article https://support.apple.com/en-us/HT204948 there is no way to do this:
The other window remains in full-screen view. You can switch to it with Mission Control, or use a Multi-Touch gesture such as swiping left or right with four fingers on your trackpad.