WM_KILLFOCUS logic

I have the following code, see below.

Why is the code case WM_KILLFOCUS in WinMain() never reached? If I remove case WM_KILLFOCUS from WndProc(), the one in WinMain() is still not reached. Case WM_KEYDOWN works just fine.

How do I fix code so that case WM_KILLFOCUS in WinMain() is reached?

The code is pretty basic.

Thank you.

#include <windows.h>
HINSTANCE m_hinstance_Module = NULL;
HWND m_hwnd_Window = NULL;
LRESULT CALLBACK WndProc(HWND hwnd, UINT umessage, WPARAM wparam, LPARAM lparam)
{
    switch (umessage)
    {
    case WM_KILLFOCUS:
        // THE CODE REACHES THIS POINT.
        MessageBoxA(hwnd, "WM_KILLFOCUS", "WndProc()", 0);
        return DefWindowProc(hwnd, umessage, wparam, lparam);
    case WM_DESTROY:
        PostQuitMessage(0);
        return 0;
    case WM_CLOSE:
        PostQuitMessage(0);
        return 0;
    default:
        return DefWindowProc(hwnd, umessage, wparam, lparam);
    }
    // Done.
    return 0;
}

void InitializeWindow()
{
    WNDCLASSEX struct_WNDCLASSEX;

    m_hinstance_Module = GetModuleHandle(NULL); // If this parameter is NULL, GetModuleHandle returns a 
    handle to the file used to create the calling process (.exe file).
    struct_WNDCLASSEX.style = CS_HREDRAW | CS_VREDRAW | CS_OWNDC;
    struct_WNDCLASSEX.lpfnWndProc = WndProc;
    struct_WNDCLASSEX.cbClsExtra = 0;
    struct_WNDCLASSEX.cbWndExtra = 0;
    struct_WNDCLASSEX.hInstance = m_hinstance_Module;
    struct_WNDCLASSEX.hIcon = LoadIcon(NULL, IDI_WINLOGO);
    struct_WNDCLASSEX.hIconSm = struct_WNDCLASSEX.hIcon;
    struct_WNDCLASSEX.hCursor = LoadCursor(NULL, IDC_ARROW);
    struct_WNDCLASSEX.hbrBackground = (HBRUSH)GetStockObject(BLACK_BRUSH);
    struct_WNDCLASSEX.lpszMenuName = NULL;
    struct_WNDCLASSEX.lpszClassName = L"TEST";
    struct_WNDCLASSEX.cbSize = sizeof(WNDCLASSEX);
    RegisterClassEx(&struct_WNDCLASSEX);
    m_hwnd_Window = CreateWindowEx(WS_EX_APPWINDOW, L"TEST", L"TEST", WS_OVERLAPPEDWINDOW, 0, 0, 800, 
    600, NULL, NULL, m_hinstance_Module, NULL);
    ShowWindow(m_hwnd_Window, SW_SHOW);
    SetForegroundWindow(m_hwnd_Window);
    SetFocus(m_hwnd_Window);
}

int WINAPI WinMain(_In_ HINSTANCE hInstance, _In_opt_ HINSTANCE hPrevInstance, _In_ LPSTR lpCmdLine, 
    _In_ int nShowCmd)
{
    MSG structMsg;
    bool blnDone = false;

    InitializeWindow();
    ZeroMemory(&structMsg, sizeof(MSG));
    while (!blnDone)
    {
        if (PeekMessage(&structMsg, NULL, 0, 0, PM_REMOVE))
        {
            TranslateMessage(&structMsg);
            DispatchMessage(&structMsg);
        }
        if (structMsg.message == WM_QUIT)
        {
            blnDone = true;
        }
        else
        {
            switch (structMsg.message)
            {
                case WM_KILLFOCUS:
                    // THE CODE NEVER REACHES THIS POINT.
                    MessageBoxA(m_hwnd_Window, "WM_KILLFOCUS", "WinMain()", 0);
                    break;
                case WM_KEYDOWN:
                    MessageBoxA(m_hwnd_Window, "WM_KEYDOWN", "WinMain()", 0);
                    break;
            }
        }
    }
    return 0;
}

Message routing is done using either of two methods:

The system uses two methods to route messages to a window procedure: posting messages to a first-in, first-out queue called a message queue, a system-defined memory object that temporarily stores messages, and sending messages directly to a window procedure.

Messages that are posted to the message queue are called queued messages, whereas messages that are immediately passed to a window procedure are called nonqueued messages.

WM_KILLFOCUS is a nonqueued message¹. That's why the window procedure observes this message, while the message loop does not.

This is an architectural limitation. You cannot make nonqueued messages show up in the message queue.

¹ The hint is encoded in the documentation: "Sent to a window", as opposed to "posted".