Some things, such as moving/copying files on the server, are more efficient than doing that over the network. But be careful, you can easily get yourself in trouble. You must never move/copy between user shares and disks, or you could lose data, since linux won't know that the source and destination could be the same file and so could overwrite the file it is trying to read.
And as you have seen, some things don't survive reboot. This is because the entire OS is in RAM. Only the actual storage persists. Unraid unpacks itself fresh from the archives on flash at boot into RAM and runs completely in RAM. Plugins, for example, are reinstalled at boot.
It's probably best if you don't get too carried away with the command line until you have a good understanding how Unraid works and how it might be different from a full linux installation.