> I've forgotten now when it changed, but I remember older versions of Windows let you exit back to DOS once you'd finished doing GUI stuff. I'm guessing that was probably removed in Win95 as that was the first "proper" Windows that didn't rely on already having DOS (IIRC).

Until Windows 3.x this was possible (though not recommended). With Windows 95, there was a boot menu that you could access via the F8 key - my previous post should make it very clear why I still have this in my muscle memory after 20-30 years. Via this boot menu, you could boot into DOS 7.0 (or if an older DOS version was installed before the Windows 95 installation, also this older DOS version). In DOS, you could still run

> win

to get to Windows 95.