How to show a ContentDialog before displaying any window?

I'm not familiar with WinUI, but it sounds like you are trying to use the main window's XamlRoot before it is actually ready.

Per comments on Show ContentDialog without setting XamlRoot? in Microsoft's WinUI GitHub repo:

I don't work in this area of the platform, but as I suggested in #2848. I don't think you want to be using ContentDialog here, you should just open a window. ContentDialog's today are meant to be displayed in an existing window, they're not a top-level window concept themselves.

...

ContentDialog requires a xaml root in order to draw to the screen. If your app doesn't have any other content drawing to the screen then ContentDialog wont work for your scenario. I'd suggest making a window to contain the UI you intend to show.

Since you don't want to show your MainWindow, then you can't use its XamlRoot to show the ContentDialog. You will have to create a separate popup window whose sole job is to host the ContentDialog.

Otherwise, as a workaround, you might consider using the Win32 Task Dialog API, which can be displayed without having to specify an owner/parent window, eg:

TaskDialog(nullptr, nullptr, L"Modern Dialog", nullptr, L"WinAPI TaskDialog", TDCBF_OK_BUTTON, nullptr, nullptr);

Let me give you another workaround that doesn't require the XamlRoot. This is C# but I guess you can apply to C++.

First, we create a custom window for the dialog.

DialogWindow.xaml

<Window
    x:Class="WinUIApp1.DialogWindow"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
    xmlns:local="using:WinUIApp1"
    xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
    Title="DialogWindow"
    mc:Ignorable="d">

    <StackPanel Orientation="Horizontal">
        <Button Content="OK" Click="OKButton_Click" />
        <Button Content="Cancel" Click="CancelButton_Click"/>
    </StackPanel>

</Window>

DialogWindow.xaml.cs

public sealed partial class DialogWindow : Window
{
    public DialogWindow(int width, int height)
    {
        InitializeComponent();

        Width = width;
        Height = height;

        this.AppWindow.Resize(new Windows.Graphics.SizeInt32(Width, Height));

        if (this.AppWindow.Presenter is OverlappedPresenter overlappedPresenter)
        {
            overlappedPresenter.IsResizable = false;
            overlappedPresenter.IsMaximizable = false;
            overlappedPresenter.IsMinimizable = false;
            overlappedPresenter.IsAlwaysOnTop = true;
        }
    }

    public enum DialogResult
    {
        OK,
        Cancel
    }

    public int Width { get; }

    public int Height { get; }

    public DialogResult Result { get; private set; } = DialogResult.Cancel;

    private void OKButton_Click(object sender, RoutedEventArgs e)
    {
        Result = DialogResult.OK;
        this.Close();
    }

    private void CancelButton_Click(object sender, RoutedEventArgs e)
    {
        Result = DialogResult.Cancel;
        this.Close();
    }
}

Then we use it in App.xaml.cs before activating the MainWindow:

public partial class App : Application
{
    private DialogWindow? _startUpWindow;
    private Window? _window;

    public App()
    {
        InitializeComponent();
    }

    protected override void OnLaunched(LaunchActivatedEventArgs args)
    {
        _startUpWindow = new DialogWindow(500, 300);
        _startUpWindow.Closed += (s, e) =>
        {
            var result = _startUpWindow?.Result ?? DialogWindow.DialogResult.Cancel;
            _startUpWindow = null;

            if (result == DialogWindow.DialogResult.OK)
            {
                _window = new MainWindow();
                _window.Activate();
                return;
            }
        };

        _startUpWindow.Activate();
    }
}

If you realy need just MessageBox features in context where moden dialogs are not available, you can use old good MessageBox directly from Windows.h

// At top of file
#include <Windows.h>

// For example, in App::OnLaunched
MessageBox(0, L"Text", L"Caption", MB_OK);