Declaring war on dialogs without a title bar - in this case the
progress dialog.  This may be a wxMac-specific issue, but if
you explicitly specify a style for a dialog, e.g. wx.STAY_ON_TOP
or wx.FRAME_FLOAT_ON_PARENT, then you also need to specify the
wx.DEFAULT_DIALOG_STYLE flag (and separate the flags with "|"),
otherwise the dialog won't have a title bar, so the user won't
be able to move it, which (for the progress dialog), is annoying
if the progress stalls at some point in an unhandled exception
or infinite loop.  In that situation, I want to be able to drag
the progress dialog to one side, so I can click on the "Show
Advanced Options" checkbox, and then click on the "Show debug
window" checkbox, but I can't move the progress dialog if it is
missing its title bar.

Adding wx.DEFAULT_DIALOG_STYLE also gives the dialog a close
button, so you need to ensure that EVT_CLOSE is bound to your
onCancel event handler.  This has been done for the progress
dialog.