MSDN Documentation. Follow or Not Follow?

When reading MSDN, often time there are sentences like "do not do XXX" or "you have to do YYY" without further explanation. This time it is on the OFNHookProc page:

Do not call the EndDialog function from the hook procedure.

It happened that I also came across the HookProc implementation in FileDialog, using the .Net Reflector:

[SecurityPermission(SecurityAction.LinkDemand, Flags = SecurityPermissionFlag.UnmanagedCode)]
protected override IntPtr HookProc(IntPtr hWnd, int msg, IntPtr wparam, IntPtr lparam) {
    // ......
    } catch {
        if (this.dialogHWnd != IntPtr.Zero) {
            UnsafeNativeMethods.EndDialog(new HandleRef(this, this.dialogHWnd), IntPtr.Zero);
        }
        throw;
    }
    // ......
}

May be the .net team know win32 in and out that outsider rules don't apply to them; or may be sometimes it is acceptable to ignore MSDN.