Priorities

Windows and Linux probably handle priorities different. If one program is using 100% CPU, then it may or may not cause other programs to run slowly. Windows has an option to be optimized for foreground or background processes, with the foreground selected by default, so a QB program in the foreground can essentially give the other programs 0% CPU.
Handling the priorities isn't the problem; no program should use 100% CPU unless it really needs this speed. On most laptops, for example, the fans will become louder if the 100% CPU is maintained for a few minutes.

-> So you put one in the main loop, and then you decided on putting one in the menu.

In most games, these are the only loops that will run for more than 5 seconds. (The menu loops until a selection is made, and the game loops while a certain level is being played.)
There could be other places, such as the loop while the player types his name after getting a high score, but this is not implemented in every game.