[anyfoo]

As some added context, that is probably[1] true for any Windows version that uses v86 (which implies at least a 386 and enhanced mode windows), not so much for any earlier, non-enhanced Windows, or any Windows running on anything less than a 386.

In those, a DOS box is relatively far from a "separate VM".

But the same would apply to OS/2.

[1] I say "probably" because I haven't verified the limitations that Window may apply on its v86 tasks. It's at least possible that there's some tight integration between the DOS version that Windows is "running on" (which remained a thing for any non-NT-based Windows, including 95,98,me) and the "DOS inside the DOS box". Which, yes, would limit what software you can run, but then so does for example the need of protected mode DOS software to use DPMI/VCPI to be able to run in a DOS box, already. Some games just would not run in DOS boxes, that's why you could still boot "DOS mode" in Win95 and later. It's also possible that there is tight integration between Windows and the DOS box in other ways that also adds limitations.