So I thought I would update the room on where I have landed on this.
I discovered that I was correct about certain services not running if explorer doesn't open up. I also found that the programs that I wanted to run could be opened from Task Manager via Ctrl+Alt+Del, but I didn't want to manually run a bunch of stuff in that manner for my setup every time I booted up, so I dug further.
It turns out that one can add startup items directly to the registry, as outlined here. However, these still do not start without the traditional Windows shell; some are actually direct links to the startup programs one would add via Task Manager/msconfig. I did find one more option that seemed like it would work, though, so I tried it: adding program paths to the Userinit variable, under the Winlogon key that one would edit to change their shell. As long as you leave the userinit.exe path in place, I found that you could add other program paths there, with special arguments, too (C:\blah\blah\steam.exe -silent, for example). I added my programs before the userinit exe, so that Userinit runs after the rest.
This path is risky - I only discovered it from one site that helped with removing startup items, and elaborated on by sites that help people look for viruses in their registry keys, so be careful not to remove the default value of the variable from Userinit. That being said, I have Steam, GOG, and JoyToKey starting before I even log in.
I never implemented a fix to the media keys for volume control; I ended up setting the system volume at 50%, and am using the knob on my speakers for now. I did see in another thread that AutoHotKey would work for that, but I haven't tried it yet.
I really hope this helps other people out with setting up their gaming boxes.