Destroy modeless wxDialog on close - c++

Question

I want to destroy a modeless wxDialog when the window is closed.
What I tried is:
#include <wx/wxprec.h>
#ifndef WX_PRECOMP
#include <wx/wx.h>
#endif
class MyDialog : public wxDialog {
public:
MyDialog() : wxDialog(nullptr, wxID_ANY, "Dialog", wxDefaultPosition, wxDefaultSize, wxDEFAULT_DIALOG_STYLE | wxRESIZE_BORDER) {
// Comment next 2 lines out for it to work as expected.
auto* sizer = CreateButtonSizer(wxOK);
this->SetSizerAndFit(sizer);
Bind(wxEVT_CLOSE_WINDOW, [this](wxCloseEvent &) { this->Destroy(); });
}
};
class MyApp : public wxApp {
public:
auto OnInit() -> bool override {
if (!wxApp::OnInit()) {
return false;
}
auto *dialog = new MyDialog();
dialog->Show(true);
return true;
}
};
wxIMPLEMENT_APP(MyApp);
But for some reason the application does not exit.
Edit, from the comments thanks to #catalin:
wxVersion: v3.1.5
Deleting everything in the ctor except the Bind exits the app as expected.
But just having something simple as a new wxButton(this, wxID_OK, "OK") in the ctor prevents the app from exiting.
If the ctor is empty the app also doesn't exit when closing the dialog.
Edit2:
Pressing the button or "ESC" does not exit the app. Pressing the "X" in top right (on Windows) closes it, but shouldn't the behaviour be the same according to the documentation:
EVT_CLOSE(func): The dialog is being closed by the user or programmatically (see wxWindow::Close). The user may generate this event clicking the close button (typically the 'X' on the top-right of the title bar) if it's present (see the wxCLOSE_BOX style) or by clicking a button with the wxID_CANCEL or wxID_OK ids.
Last Edit (I hope):
I somewhat solved it. Adding Bind(wxEVT_BUTTON, [this](wxCommandEvent &) {this->Destroy();}); closes the app on button click, the Bind for wxEVT_CLOSE_WINDOW closes it on "X" click. But still the wxOK Button should generate a wxEVT_CLOSE_WINDOW not a wxEVT_BUTTON event according to doc.