All of the versions, even the GUI, will restart where they left off; you don't need to run as a 'service' to get that capability. They all write checkpoint information to the hard drive at certain intervals. For example, if it checkpoints every 30 minutes, after a computer crash you should never lose more than 30 minutes of work once the computer is restarted.
I've lost complete WU efforts to date when Win98SE crashes. Now I back up the directories associated with the big ones, especially as they approach completion.
I lost all of my 6th unit when it went off the first time. It started a new packet, I think they called it.