The VCL has a window managed by TApplication and it's the window which shows up in the task bar, but it's not the application's main window, which is generally a TForm descendant. When you minimize the main window (certainly on Windows 7 and before - I'm not sure about what happens these days) it would just vanish, while a tiny little animation not related to the main window would briefly show disappearing into the task bar button.
The application's window message queue was used for things like coordinating background thread actions with the UI thread and other general purpose stuff - I don't remember the details and it's been a long time since I read the VCL source.
I even vaguely recall MS jumping on this bandwagon with some MFC styles.