Windows must boot in UEFI mode for it to work. It keeps the same display mode as the firmware left it in, and just animates the spinner in UEFI framebuffer.

The native display kicks in with the login screen. (For some reason, UEFI doesn't initialize my graphics card to the panels native resolution, so the change with the login screen is visible).

That depends on your graphics card manufacturer and your motherboard. With my MSI parts I had to get a specially crafted GPU BIOS from an MSI employee to make it all work. I had hoped that situation had improved over the years.