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With a dialog box, you do not have to handle a WM_PAINT message.
And with the difference between the two, you are correct that they will receive messages differently. A message box will not receive all the messages that a "normal" WinProc would, but you may not always need to receive those messages. Dialog boxes are basically just a window that works with child controls.
Basically it comes down to how much control do you want/need. Dialog boxes cannot do everything , but many times you do not need to do everything.
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On and on....
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