MessageBox closes immediately in DispatcherUnhandledException handler.

App.xaml

<Application x:Class="LOSD.App"
             xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
             xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
             xmlns:local="clr-namespace:LOSD"
             Startup="App_Startup"
             Exit="App_Exit"
             >
    <Application.Resources>
         
    </Application.Resources>
</Application>

App.xaml.cs

public partial class App : Application
    {
        public static App m_instance;
       private readonly string m_sObjectName; // readlyonly (const in C++)
        bool isApplicationActive;

        bool IsStartingUp;

        public enum ApplicationExitCode
        {
            Success = 0,
            Failure = 1,
            CantWriteToApplicationLog = 2,
            CantPersistApplicationState = 3
        }

        public App() : base()
        {
            m_instance = this;
            m_sObjectName = string.Format("{0}_ProgramMutex", AssemblyInfo.AssemblyProduct);

            ShutdownMode = ShutdownMode.OnExplicitShutdown;
            IsStartingUp = true;
        }
        
        void App_Startup(object sender, StartupEventArgs e)
        {
            // Application is running
            // Process command line args
            bool startMinimized = false;
            for (int i = 0; i != e.Args.Length; ++i)
            {
                if (e.Args[i] == "/StartMinimized")
                {
                    startMinimized = true;
                }
            }

            // Create main application window, starting minimized if specified
            MainWindow mainWindow = new MainWindow();
            if (startMinimized)
            {
                mainWindow.WindowState = WindowState.Minimized;
            }
            mainWindow.Show();
        }

        void App_Exit(object sender, ExitEventArgs e)
        {
         
            try
            {
                // Write entry to application log
                if (e.ApplicationExitCode == (int)ApplicationExitCode.Success)
                {
                    WriteApplicationLogEntry("Failure", e.ApplicationExitCode);
                }
                else
                {
                    WriteApplicationLogEntry("Success", e.ApplicationExitCode);
                }
            }
            catch
            {
                // Update exit code to reflect failure to write to application log
                e.ApplicationExitCode = (int)ApplicationExitCode.CantWriteToApplicationLog;
            }

            // Persist application state
            try
            {
                PersistApplicationState();
            }
            catch
            {
                // Update exit code to reflect failure to persist application state
                e.ApplicationExitCode = (int)ApplicationExitCode.CantPersistApplicationState;
            }
        }

        void WriteApplicationLogEntry(string message, int exitCode)
        {
            // Write log entry to file in isolated storage for the user
            IsolatedStorageFile store = IsolatedStorageFile.GetUserStoreForAssembly();
            using (Stream stream = new IsolatedStorageFileStream("log.txt", FileMode.Append, FileAccess.Write, store))
            using (StreamWriter writer = new StreamWriter(stream))
            {
                string entry = string.Format("{0}: {1} - {2}", message, exitCode, DateTime.Now);
                writer.WriteLine(entry);
            }
        }

        void PersistApplicationState()
        {
            // Persist application state to file in isolated storage for the user
            IsolatedStorageFile store = IsolatedStorageFile.GetUserStoreForAssembly();
            using (Stream stream = new IsolatedStorageFileStream("state.txt", FileMode.Create, store))
            using (StreamWriter writer = new StreamWriter(stream))
            {
                foreach (DictionaryEntry entry in this.Properties)
                {
                    writer.WriteLine(entry.Value);
                }
            }
        }

      
        protected override void OnExit(ExitEventArgs e)
        {
            // https://social.msdn.microsoft.com/Forums/vstudio/en-US/116bcd83-93bf-42f3-9bfe-da9e7de37546/messagebox-closes-immediately-in-dispatcherunhandledexception-handler?forum=wpf
            // https://stackoverflow.com/questions/3935583/ask-the-user-before-closing-c-sharp-wpf-application
            DispatcherUnhandledException -= new DispatcherUnhandledExceptionEventHandler(DispatcherUnhandledExceptionHandler);
            try
            {
                base.OnExit(e);
            } catch(Exception ex) { }
            
        }

        protected override void OnStartup(StartupEventArgs e)
        {
            DispatcherUnhandledException +=
                new DispatcherUnhandledExceptionEventHandler(
                    DispatcherUnhandledExceptionHandler);

            // WPF Bug Workaround: while we have no WPF window open we can`t show MessageBox.
            Window WpfBugWindow = new Window()
            {
                AllowsTransparency = true,
                Background = System.Windows.Media.Brushes.Transparent,
                WindowStyle = WindowStyle.None,
                Top = 0,
                Left = 0,
                Width = 1,
                Height = 1,
                ShowInTaskbar = false
            };

            WpfBugWindow.Show();

            try
            {
                base.OnStartup(e);

                // If some problem occursduring the startup, than we have an exception here.
              //  InitializeMyApplication();

                // And if there no any problem, than we continue...
                IsStartingUp = false;
                ShutdownMode = ShutdownMode.OnLastWindowClose;
                WpfBugWindow.Close();
            }
            catch (Exception ex)
            {
                MessageBox.Show("Can`t launch application because of:\r\n" + ex.ToString(),
                    "My Application", MessageBoxButton.OK, MessageBoxImage.Error);
                WpfBugWindow.Close();
                Shutdown(1);
            }
        }

        void InitializeMyApplication()
        {
            // Let`s imagine that we have some exception during the application startup.
            // For example:
            throw new InvalidOperationException("Big problem occurs...");
        }
        
        void DispatcherUnhandledExceptionHandler(object sender, DispatcherUnhandledExceptionEventArgs e)
        {
            if (!e.Handled)
            {
                e.Handled = true;
                if (!IsStartingUp) MessageBox.Show(e.Exception.ToString(), "Error",  MessageBoxButton.OK, MessageBoxImage.Error);
            }
            
        }
 }