Not necessarily. NetBSD - and presumably others - ships with window(1), which provides a text-mode windowing environment. Nothing graphical about it any more than any text "terminal" necessarily is.

I'm not sure "cheat" is really an appropriate word, but yes, you lose some functionality when you drop windowing.

Sometimes that functionality is irrelevant, or worth losing to get some other benefit. Sometimes it's not.

Windowing environments don't necessarily mean point-and-click. In my own X-based environment, for example, I can work productively for hours - and not just all in the same window, either - without touching the mouse. As you yourself said, It's not GUI environments that lose the functionality you're talking about; it's about a particular subclass of GUI environments that are designed - misdesigned, arguably - so as to compel their users to switch between keyboard and mouse comparatively frequently (on a timescale of seconds to minutes).

Sounds to me as though you're talking about primarily point-and-click windowing environments with keyboard "shortcuts" grafted on, rather than environments designed from the ground up to be keyboard-driven. (That one particularly dominant windowing environment is an especially egregious example of this doesn't help....)