You’re totally right that fullscreen breaks cmd ~. It also breaks cmd tab in unexpected ways.

You’re also right about lack of visual feedback, which is disappointing given the various stuff that I think is still currently branded Mission Control, where obviously the fundamentals are already there.

Cmd ~ isn’t statically ordered though, it’s either application specific or based on recent use in a weird (easy to confuse) heuristic. It follows a similar (maybe identical?) pattern to recent use for cmd tab, and even app switching on iOS.