I mean this screen:
I remember this screen ever since Windows 95. Does it serve any purpose at all?
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Purpose of this screen is for one to notify you about ongoing restart, so that you do not think that it is an error, and that you need to restart the installation process.
Also, in Ubuntu for example, there is some additional text, which tells you to remove installation media if needed after the installation is finished, so you do not keep getting installation menu every time you boot (in case you are installing from CD/DVD and you have set it as a primary boot device).
Previous windows versions (before windows xp), did not have the "Press any key to boot from CD/DVD..." text, so they started booting directly from the CD, which made a problem, because once the initial phase of the installation is finished and setup is copied to the boot sector of the selected hard disk, after the next restart you should boot from hard disk and not from cd. If you booted from CD/DVD again it would restart the setup, and thus probably create the confusion.
This is my educated guess on this topic, for what it is worth.