Running another program as a shell is always a problem, as you don't have access anymore to all standard windows functions, which are running on explorer shell only, by default. network access for example... To me the better way is putting it in autostart, so you have still access to all standard functions. You can also get rid of the windows logo on startup, have a black login screen, setup automatically login with your username & password etc, but it will not be completely seamless startup.
So you have to decide, if you want seamless start, or having everything functional in the background as usual. You cannot have both 100% at the same time.
When using attract mode as a shell, you can create a simple batch file, which automatically launches explorer.exe everytime you leave attract mode, so you don't see that black screen any longer and you don't have to always hit "strg + alt +del" and type in "explorer.exe" anymore... much more comfortable. Searching the web you should easily find how to.