95 starts from dos and can exit to dos (maybe? my memory isn't reliable back then, I seem to remember it having a shut down screen and I thought reboot into dos rather than exit to dos?), but that doesn't mean dos runs under it. When a 386 mode Windows runs, it subsumes DOS; the DOS becomes virtualized on top of the Windows kernel, and when Windows exits, it puts things back to how they were.

It's messy and weird, but progress. Windows NT operates differently and I don't think ever started from DOS.