You can see that in Xojo IDE, for example, closing a test without saving it will prompt you:
If you click yes and try to save with the same name as other file:
msgbox is a native dialog, MessageDialog is a hand coded window used by the Xojo IDE to have some crapy looking dialogs since forever, someone at xojo just thought it was a good idea to make them available for the end users.
I have 3 xojo versions installed to mantain proyects, note that the dialog is identical, but MessageDialog was exosed only on the 2019r2. Also note that they are using native icons in 2020+ for MessageDialog and the internal dialog show exactly the same chage: