We implemented our own CAxControl::OnDispatchMsg() for native modal window in 1.5.0_01 instead of using the underline window message handler.
Our implementation loops and waits to handle only events from the current thread. This causes events from other native window triggered by the modal dialog but not in the same thread to not being able to get handled.
This problem is applicable to 1.5.0 latest patch as well as 6.0 latest build.
Solution is found. Will seek approval to get it in to 1.5.0_07 b1 as well as 6.0 B66.