I forget exactly how it worked, but you could just reboot into MS-DOS on your Windows 95 computer. Crucial for running games.
Also when you shutdown windows 95 it would leave you at a DOS prompt. So no restart was actually needed.
IIRC “MS DOS mode” could either just exit Windows, or reboot the entire system depending on config (presumably if you wanted custom config.sys / autoexec.bat)? But I might be wrong, it’s been years since I used 9x.
Those two cases got conflated by the ability to start Windows from within autoexec.bat, which wasn't the Microsoft default but was a fairly common setup from some OEMs. To the OS, that's the case of starting Windows separately, but to the user, it looks like the auto-starting case.