I'll admit it doesn't hurt, just somewhat annoying. Keeping the OS updated, the last thing I want is something else that requires a restart (ah, the NT4 days, when updates were sparse, and you didn't have restart for months...and couldn't use most brand-new non-server hardware for lack of drivers).
I switch back to explorer when gaming, and then back again after, and never had any troubles logging off and then back on (I'm glad regedit remembers where it last was!). On the other hand, I'm very careful about what I have installed and running...and most anything aside from Winzip and WinRAR that add options in explorer context menus ends up causing some kind of problem.