If a dialog box is shown using MessageBox.Show at application startup, but the app has a WPF splash screen (an image with build action set to SplashScreen), the disappearing splashscreen also dismisses the dialog box, causing Show to return MessageBoxResult.No.
The behavior is the same if the dialog is invoked in an event handler for Application.Startup, or if Applictation.OnStartup is overridden - i.e. with base.OnStartup(); MessageBox.Show(...);
On a related note: If MessageBox.Show is invoked in the App constructor, the main window never appears at all (with or without a splash screen). The process remains alive but it's UI never appears.
I'm sorry if I've posted this in the wrong place. I saw products listed for WWF and WCF, but not for WPF, so this was the most specific I saw.