Usually, when a user holds the mouse pressed over a button, moves the mouse away from the window, and then releases it, the button can tell that the mouse has been released even though the release has actually occured outside the window.
When I inspect mouse clicks in my window, how can I imitate the same behavior?
When a mouse button being pushed down over the window I get the WM_XBUTTONDOWN message, but Windows don’t treat it as if anything is logically being “clicked”, so after the mouse leaves the window, no further messages will arrive at the window, which results in a “lost” WM_XBUTTONUP message.
When you receive the button down, you capture the mouse. That means that all the mouse events until releasing the capture will be reported to the window that captured the mouse.
See the documentation here. You also have a link to an example from that page.