Wow, that's so crazy and wonderful. And yet very okay, since it wasn't like there would be any other application running. :)
If I recall correctly, (original) XBOX games would often go the the next level of whatever game by just loading a new EXE and start over from scratch, rather than bothering with some kind of "level loading and init" code.
Almost all Microprose PC games from early 90's were structured as small .COM driver that switched between some number of separate .EXEs. IIRC there is notable exception of Civilization that used proper overlays.
It was fine on consoles, but on PC it'd lead to some weird behavior, like the monitor switching modes as it returned to the desktop and then went back into 3D mode as the newly-launched EXE ran its init code.
If I recall correctly, (original) XBOX games would often go the the next level of whatever game by just loading a new EXE and start over from scratch, rather than bothering with some kind of "level loading and init" code.