At the moment I'm developing my multiplayer game using TCP sockets. I am considering moving to Photon server but one thing that bothers me is that it seems like Photon wants act like an App server and control the process?
I would very much prefer to have control of the process myself - basically I want MY Main() method to be the entry point of MY exe file and just use Photon as an SDK. Can this be done?
I apologize if it's hard to understand what I mean - I'm not entirely sure what it's called and that's why it has been hard for me to google it too.

I hope I understand this correct, that I can just reference the Photon.Socketserver.dll in my own project:

Alternatively any game logic can be developed directly on top of the C# framework. The entry point for this is the application class, defined in the Photon.Socketserver.dll.

http://doc.photonengine.com/en-us/onpremise/current/getting-started/basic-concepts