That is correct, it is supported on non-IIS skus. The key understanding is that VS 2005 (& Visual Web Developer Express) ships with a built-in server called "Cassini" that allows a dynamically allocated port to be used such as HTTP://localhost:38593 and your application for testing.
However, it should be noted that the Cassini server usage and behavior is not an apples to apples comparison to its behavior on IIS. Thus, I do not recommended to take those results and not re-test on the correct platform that will be deployed in production (such as IIS.)
Thanks,