Mention possible problem with wxProgressDialog created in OnInit()

Such dialogs must be destroyed before the main event loop starts running
to avoid problems with the temporary event loop created by the dialog
internally.

See #17983.

interface/wx/progdlg.h

@@ -49,6 +49,9 @@
             }
         }
     @endcode
+    Note that this becomes even more important if the dialog is instantiated
+    during the program initialization, e.g. from wxApp::OnInit(): the dialog
+    must be destroyed before the main event loop is started in this case.
 
     @beginStyleTable
     @style{wxPD_APP_MODAL}