Yes, when Cancel is clicked. It means they chose to ignore the validation, so you can safely close the form. However when OK is clicked you need the value returned from the "Box", so until the validation is over you keep it hidden. This is almost immediate.
PS: I did this Password box, so many months ago, so do not exactly know why and so, but the above description seems to fit the idea behind the statement. If it is not working ping back I will have a look.