The short answer is that in the simplest configuration, nothing should be in your config.sys except for the DEVICE[HIGH] statement for your CD-ROM driver, and nothing should be in autoexec.bat except environment variables (and doskey if you'd like). Put MSCDEX, mouse driver, and other TSRs in c:\windows\dosstart.bat, and use the "restart in MS-DOS mode" feature when you want real mode. This way, things like ISAPNP devices are initialized and that can cut down on any needed drivers. That ISAPNP initialization is a difference between "restart in MS-DOS mode" versus pressing F8 at boot and choosing command prompt only, or creating some overly-complex menu setup.
Technically, through things like Devload, you could even move the CD-ROM driver to dosstart.bat, but for some reason that was not supplied in stock Win9x.
Unnecessary software in config.sys and autoexec.bat, at best, just wastes memory in DOS boxes while you are running Windows. At worst, things like Int 13h hookers can force Windows to use the BIOS calls for disk access instead of direct access to the hardware through the protected mode driver, hurting performance.
Windows acts as the EMS and UMB provider while it is running, and temporarily takes over from any EMM386-style utilities using an API called GEMMI and returns control back to them when returning to real mode. With an empty config.sys, there is no EMS and no UMBs while in real mode, and EMS but no UMBs while in Windows. If you put DEVICE=C:\WINDOWS\EMM386.EXE NOEMS in config.sys you get the opposite--no EMS but UMBs, and will increase free conventional memory both in DOS boxes as well as in "restart to MS-DOS mode". If you want EMS+UMBs at the same time you can look up how to configure EMM386.
You really shouldn't have to be dropping to real mode to run games. The feature is there (and if needed, there is even built-in functionality to reboot into a custom config.sys and autoexec.bat setup just for one specific PIF) but it's for things like custom DOS extenders that are not DPMI compliant. You can read more about it here: https://ptgmedia.pearsoncmg.com/images/978032 … _bonus_ch02.pdf