So I'm getting along, but I noticed some behaviour, I can't explain and I haven't find any clue in the Toolkit help.
While in the Launcher window or while in Game window with the menu open, the pointer isn't captured, so ALT+F4 works.
But in Game window with the menu closed, the pointer is captured, and then ALT+F4 will not work, while other keypresses are sending WM_CHARs.
Has someone a hint, what is happpening here?