The difference is that WSL either emulates the Linux system call interface (WSL1) or runs Linux on a VM (WSL2); in both cases, the operating system running the machine is still Windows.

With LOADLIN, the Linux kernel completely replaced MS-DOS in memory. To get back to DOS, you had to reboot. Since MS-DOS was a single-task operating system (that is, you weren't normally running anything else at the same time, other than perhaps a few utility TSRs), and it booted quickly (other than the slow memory counting in the BIOS if you had that enabled), that was not a big deal.