WMQueryEndSession inside a custom class is never called: wmqueryendsession

WMQueryEndSession inside a custom class is never called

I'm having problems receving a notification when Windows is shutting down if I setup the WMQueryEndSession procedure on a custom class. If setup inside a form it gets called just fine. Any idea what might be the problem?

WORKS:
--------------------------------
type
TForm1 = class(TForm)
private
{ Private declarations }
procedure WMQueryEndSession(var Message: TMessage); message WM_QUERYENDSESSION;
public
{ Public declarations }
end;

var
Form1: TForm1;

implementation

{$R *.DFM}

procedure TForm1.WMQueryEndSession(var Message: TMessage);
begin
if MessageDlg('Close Windows ?', mtConfirmation, [mbYes,mbNo], 0) = mrNo then
Message.Result := 0
else
Message.Result := 1;
end;
--------------------------------

DOESN'T WORK (the WMQueryEndSession procedure is never called):
--------------------------------
TMonitor = class
private
procedure WMQueryEndSession(var Message: TMessage); message WM_QUERYENDSESSION;
protected
public
end;

implementation

procedure TMonitor.WMQueryEndSession(var Message: TMessage);
begin
if MessageDlg('Close Windows ?', mtConfirmation, [mbYes,mbNo], 0) = mrNo then
Message.Result := 0
else
Message.Result := 1;
end;

On the main form:
Monitor := TMonitor.Create;
--------------------------------

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WMQueryEndSession inside a custom class is never called

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