If you're running a single app (e.g. a game, or WordStar), adding a "real" OS usually doesn't buy you much in terms of raw performance (though maybe you get better responsiveness during background printing or other multitasking.) In fact a "real" OS tends to add overhead.

Games are notoriously performance-intensive, and early 1990s PC games tend to run well on DOS - Windows just adds overhead. For that matter, many arcade machines used simple drivers and lacked a "real" OS as well.

Moreover, if you're not trying to run some multitasking workload with background tasks (and indeed you don't want to if you care about performance for your game), then polling in a game loop/frame loop may be more efficient than interrupts.

And when you're trying to extract maximal performance, as in the PC demoscene, you often want direct access to the "bare metal" devices themselves - something which DOS happily allows. Windows provides little - or negative - value.