It seems that the original plan was to create the first game console with an operating system, something happened at some point and the ROM only contains a BIOS, just like a PC. Maybe it was cost issue or maybe devs demanded bare metal or maybe something else.

Game devs in general did have issues with multithreading and OS scheduling interfering with game logic until mid-late Vista era; games used to be all big single threaded main loops with some interrupts for peripherals that struggled to adapt to multi-core/multi-threaded CPUs. DC was between PS1 and PS2, so games were still quite deep in that phase.

DC not having the OS in the ROM is IMO a big shame considering that Dreamcast could have been basically the Xbox. Makes me wonder if Gates' push on "bringing back games to hands of Americans" was partially driven by that "incident", if it had been one, on top of having the market dominated by Nintendo and Sony.