The reason is not only to get the "Press ESC..." prompt, but also to get into SoftICE configuration when you set SoftICE to start in "boot mode". Then it tells you to press ESC to modify the startup environment, which shows you a nice text-mode configuration dialog where you can decide what to load an what not.
I personally don't start SoftICE in "boot mode", so I have enabled the Windows bootscreen again without having any problems. And you actually see what CHKDSK is doing at startup, since it will not show in text mode but only on the default startup screen.