Manolo,
Did you get anywhere with this?
I don't know why the docs are this way - but then it is also stating a thing that I have long believed is true.
So... I believe it is true, but I don't have any actual evidence that is actually is.
There might be weird effects with event delivery if the events queue is not initially locked, when subsidiary threads are running, but how closely that relates to the first window being shown may depend very much on the application in question, I think.
So I have nothing useful to offer here.
(That said, I'm going to go on doing that first lock really early in my code anyway!)
Cheers,
Ian