Hello Lukas,
If on Windows Hauptwerk's "Try to run Hauptwerk at real-time priority on Windows" general preference is ticked and you launch Hauptwerk with Windows administrator rights, then Hauptwerk will switch to running at real-time process priority whenever audio is active, but at other times (e.g. when an organ isn't loaded, or if you have the preferences screens open) it will run at normal process priority.
Hence when you launch Hauptwerk it would indeed continue to run at normal process priority until an organ is loaded are audio starts. That's the normal and intended behaviour (so that it doesn't hog CPU resources at times that it doesn't need to).