No, there's no multitasking needed if application runs going directly to hardware.
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Audio devices usually needs to be shared e.g. browser (e.g. multiple Flash FLV), Mediaplayer/DivX/WinAMP (e.g. MP3, AVI, WMV), PowerDVD (e.g. Blu-Ray), system alerts/effects, Game for Windows, Skype, WinUAE, VirtualBox, Windows Remote Desktop and 'etc'.
Application can take over the timer interrupt that OS is using for multitasking so OS won't be multitasking. As I stated, see Amiga as an example of a computer that does this. OS supports multitasking applications but it also supports single tasking applications that can use hardware fully to get the task done most efficiently.
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Hit-the-metal applications breaks on Windows Remote Desktop or Windows Terminal environment.