The in-built DOS support in Windows NT/XP basically does what you're suggesting DosBox do. It just does it badly, especially the sound (which is what VDMSound was made for - to replace the sound emulation part).
Basically, using the CPU directly instead of using an emulated CPU, while still running another O/S alongside like Windows is hard, because the program you want to run was designed to have access to the whole computer, and not co-exist with other stuff running at the same time. Seperating the program you want to run from the O/S can either be done by emulating a virtual machine, including CPU, or a more advanced method called virtualisation, the best example of which, is probably the commercial "emulator" VMWare. But even virtualisation has overhead and can be pretty slow. There is actually a virtualisation "emulator" designed for running dos games called DosEmu, but it's only for Linux.