While elaborating an answer for another question (by myself), I've come up with the idea of using a MessageBox to report the result of my dialog box. It is a WinAPI modal dialog box created with the DialogBox() function.

However, I noticed that handling WM_DESTROY in the dialog's procedure function will prevent the message box from appearing. I would like to understand the mechanics behind that.

Here's the full code, and the referred message box is at the end, right before return 0:

#define WIN32_LEAN_AND_MEAN
#include <Windows.h>
#include <string.h>
#include "resource.h"

INT_PTR CALLBACK DlgProc(HWND hwnd, UINT msg, WPARAM wParam, LPARAM lParam)
{
    switch (msg)
    {
    case WM_INITDIALOG:
        return (INT_PTR)TRUE;
    // uncomment these and the MessageBox won't show up
    //case WM_DESTROY:
        //PostQuitMessage(0);
        //break;
    case WM_COMMAND:
        switch (LOWORD(wParam))
        {
        case IDOK:
            if (MessageBoxW(hwnd, L"Close the window?", L"Confirm", MB_OKCANCEL) == IDOK)
                EndDialog(hwnd, (INT_PTR)wParam);
            break;
        case IDCANCEL:
            MessageBoxW(hwnd, L"Goodbye.", L"Close", MB_OK);
            EndDialog(hwnd, (INT_PTR)TRUE);
            break;
        }
    }
    return (INT_PTR)FALSE;
}

int WINAPI wWinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPWSTR lpCmdLine, int nCmdShow)
{
    INT_PTR ret = DialogBoxW(NULL, MAKEINTRESOURCEW(IDD_DIALOG1), NULL, DlgProc);

    wchar_t retTxt[10];
    if (ret == IDOK)
        wcscpy(retTxt, L"Alright!");
    else
        wcscpy(retTxt, L"Error");

    MessageBoxW(NULL, retTxt, L"Result", MB_OK);

    return 0;
}