Windows 95's AppCompat keys (HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\MS-DOS Emulation\AppCompat\)'s a good start to look for games that Win95 strives to reboot into pure DOS mode for. Ultima VII definitely is featured there (among other Origin products).

I'm curious this too. After having tried a lot of games, I find some games which doesn't run well or at all in Windows.

Wings of Glory - This game needs EMS and won't run in Windows at all.
Screamer - It runs under Windows well, but the setup program needs real DOS.
Theme Hospital - This game runs under Windows without problem theoretically. However the intro video cannot be played in full screen mode and the MS-DOS prompt cannot be set to windowed mode to run the game. This leaves a black screen and you cannot start the actual game. So I have to go to pure DOS to play it.

All the other games I have tried so far runs well under MS-DOS mode.

EDIT: Adding Jill of the Jungle to the list.

My memory is a bit hazy, but I think Jazz Jackrabbit can't work from within Windows. Aladdin also has some errors with either XMS or EMS when launched from Windows.

The Lost Vikings, runs within Windows, but music playback is slower than usual regardless of the driver used.

Crusader No Remorse
Crusader No Regret

Origin games to which leileilol alluded. Ultima VIII is probably on this list, also?

Remembered another one: Zone 66, which refuses to run when a XMS driver is present.

After my testing, these games can run under Windows MS-DOS command prompt without problem.

Jazz Jackrabbit
Aladdin
Zone 66