The setup after finishing popped up a new window without begging for or forcing a restart. Not sure if the reason was a recent advancement in the Operating System or the browser itself, maybe its both.
Maybe the real reason for this is because its just a platform preview and it doesn't replace IE9. You can still run IE9 along-with IE10 Platform Preview. IE 10 Preview Platform won't be set as your default browser.
Do note that this is a preview and it doesn't even have a floating or a fixed address bar. You have to use Page/Open and visit your pages/URLs.
Also it lacks tab support but you could always have multiple windows of this IE platform preview open, like the old IE4 way ;-)