Entendendo a mensagem WM_CLOSE

LRESULT CALLBACK WndProc(HWND hwnd, UINT msg, 
  WPARAM wParam, LPARAM lParam){
    switch(msg){
      case WM_CLOSE:
        DestroyWindow(hwnd);
        break;
      case WM_DESTROY:
        PostQuitMessage(0);
        break;
      default:
        return DefWindowProc(hwnd, msg, wParam,
          lParam);
    }

  return 0;
}

case WM_CLOSE:
  //DestroyWindow(hwnd);
  break;