I was doing it with TCC ... it was truly topmost ... no application window could hide it. Spy++ confirms it has WS_EX_TOPMOST
When I tried from a TCMD tab it was the same. Further, if I switch to another tab in TCMD the msgbox disappears ... really disappears ... switching back to the tab that created the msgbox doesn't show it ... the tab is still waiting for the msgbox to close. The msgbox isn't hiding behind anything. According to Spy++ it still exists, with WS_EX_TOPMOST and without WS_VISIBLE.
Sorry Rex, but I'm using ALWAYS TCC, no use for TCMD because my Favourite since Windows 3 is WINCOMMANDER/TOTALCOMMANDER :-).
But now I've tried it with TCMD and I get the same strange result as vefatica !