@Kuba Assuming you're asking CDF Player and not about Murta's wedding, there is an asterisk that has the note, "Security sandbox restrictions apply." I don't know if that's defined anywhere. I don't know what it would mean to launch a dialog that is not done with a dialog window. I doubt they mean the function Dialog[].
@MichaelE2 Maybe it matters but it still confusing. I suppose they mean that if you open something like FileNamesSetter it will be only as useful as sandobox settings are alowing it.
In free cdf you can launch dialog window but you can only see static content. No button or other controller will work. Even DefaultButton[] will not close it and you have to use 'x' in the corner.
@Kuba Is it called a dia-log if there's only one-way communication? :P I did mean that I found it confusing. It would be nice if there were a user's guide that show simple examples of the things in the chart and what works/doesn't in each level of CDF player.
@MichaelE2 It is good question, what is a Dialog? The more confusing that Dialog function is something copletely different. I reported this suggest to WRI we will see what they say.
@Kuba Not Dialog surely. :) And why do they use the word "launch" in the webpage when the function is (probably) CreateDialog? Anyway, it's probably not worth picking over the little bits.
