Not exactly a Steam OS expert, but based on my own observations:

• Switching to desktop is indeed fast
• Given you see the intro movie etc, you fully reboot when ‘returning’ to gaming mode. You get the boot movie too.
• Speculation from my side: Gaming mode needs to be booted directly into, with desktop mode (a regular-ish Linux environment) existing ‘under’ the gaming mode UI. So switching to desktop mode shuts down gaming mode, whereas to get back into it you need to reboot.