I tried to reproduce the issue, but to no avail. Could you please give us some more details about the issue - how many opened Alerts do you have at a time, are you opening the next one from the previous opened, etc.
The Alert is opened as a modal window, the only difference with the MessageBox is that it is not stopping the thread.
Ideally, if you could send us a sample project which this issue can be observed it will be really helpful for its timely solution.
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