Not many of the concepts are familiar to me, either, from a programming perspective as I am an engineer, not a computer scientist. Most of the MSDN information looks like a foreign language to me. But you must know the feeling when you use a Windows application that doesn't behave as you expect - and it is annoying.
Modal windows usually have a close button (perhaps a %bt, or even if you are more adventurous, use %ib - this could also include printing). It will get more complicated if you need to intercept window closure to give the user the a reminder to optionally select Save before closure.
I noticed that your application doesn't have the standard File menu as the first item, nor a Help menu as the last one. I found out a lot about bitmaps and fonts from paying around with something as simple as the Help/About window. However, helpfully for this forum at least, your menus are in English!
There is a good set of documents about the User Experience of using Windows on the MSDN website. Some of the effects are not achievable with Clearwin+, but many are. If you look at this document (you can probably find a German language version) then you will realise some more subtle features. For example, a menu item (not the top level menu) should have ellipsis (...) if the item leads you to need to input anything, or a tick mark if selecting it turns an option on or off, or a triangle arrow if there is a submenu (Clearwin+ gives you this automatically if you have a submenu). Again, I did not understand these conventions when I started, and got it all wrong. There doesn't seem to be a clear explanation in simple language anywhere.
Also, you use the Classic windows appearance. Have you tried adding
1 24 default.manifest
to your RESOURCES section?
Eddie