Looking at some other projects, it seems that my test project with multiple swapchains has the same issue, so it is unlikely related to the tabcontrol.

I've now narrowed down the problem to just a single child window. I've got a test project that creates a main window, and a child window, my renderer is coupled to the child window, and I cannot get a message box to show above the window.

This thread pointed me to a solution. I was not using begin/end paint, which caused windows to do... something. I'm still not 100% sure what was going on, as I don't see how it would have affected z order. Can someone with some more experience shed some light?