Windows 95 still borrowed a lot of code from MS-DOS, though. That's why you could still exit to the command prompt. I think you could do that through WinME.
Huh? Why would you even say this? There's no MS-DOS code in Windows 95, and you couldn't exit Windows 95 to a command prompt. Are you just trying to throw some FUD into this conversation?
No, he's right. Windows 95/98/Me use MS-DOS as a bootloader, and Windows 95+98 still allowed you to exit Windows from the shutdown prompt, leaving you only at the DOS prompt. Windows Me took away the ability to exit, least without a binary hack to IO.SYS that can re-enable it.
The original "It's now safe to turn off your computer" screen in Windows 95/98 actually sent you to a DOS prompt. Because the computer was in graphics mode you couldn't see the prompt but you could blindly type the commands to switch modes and continue to use the computer from DOS.