Moreover this is the default mode. The CoInitialize API puts you in a STA by default. To get the GUIless MTA you must use the replacement CoInitializeEx API. Obviously COM programmers know this and it's not a big deal, but I don't understand this resistance to accepting that an OS literally called Windows might make windows and window messages an important part of the API.
And I did that window messages run in the kernel, which you accept - even in latest versions the (mandatory) win32k.sys driver implements the message syscalls. I'm not sure how you know what the implementation looks like, but I'm pretty sure it used to be well optimised. It'd be odd if it no longer was.
Now I haven't claimed every IPC primitive in Windows is GUI based, have I? But fundamental features use it, including features like RPC that you wouldn't imagine do so, and that supports my point that it's called Windows for a reason. The GUI aspects historically integrate deeply into everything. As yet one more example, if the dynamic linker encounters a problem during program startup, you get a GUI message box telling you so, even if the program was started from a console.