Windows Raw Input works only if initialised late - c++

Question

I am creating a DLL which gets called from a Windows application. It calls my function which then spawns a thread running PttThread shown below. I then register a message only window to handle raw input events. None of the calls return any errors but I do not get raw input events. However, if I add a delay after creating the window but before registering the raw input it suddenly works.
Since Windows does not tell me anything is wrong, how can I change my code so initialisation works properly?
DWORD WINAPI PttThread(LPVOID lpParameter) {
if (!hInstance) {
hInstance = GetModuleHandle(NULL);
}
//Create message only window
WNDCLASSEX wx = {};
wx.cbSize = sizeof(WNDCLASSEX);
wx.lpfnWndProc = messageProc;
wx.hInstance = hInstance;
wx.lpszClassName = class_name;
if (!RegisterClassEx(&wx)) {
printf("could not register window class: ");
printLastError();
}
windowHandle = CreateWindowEx(0, class_name, L"R4nd0m_dummy_name", 0, 0, 0, 0, 0, HWND_MESSAGE, NULL, NULL, NULL);
if (!windowHandle) {
printf("Could not create window\n");
printLastError();
}
printf("hinstance %u\nhwnd %u\n", hInstance, windowHandle);
// HERE
Sleep(1000); //Then raw input works
// Setup raw input
RAWINPUTDEVICE rid[1];
rid[0].usUsagePage = 0x01;
rid[0].usUsage = 0x06;
rid[0].dwFlags = RIDEV_NOLEGACY | RIDEV_INPUTSINK;
rid[0].hwndTarget = windowHandle;
if (RegisterRawInputDevices(rid, 1, sizeof(rid[0])) == FALSE) {
printf("!!! Could not setup keyboard input\n");
printLastError();
}
printf("Finish setup of PTT\n");
// Raw input does NOT work if Sleep(1000) is move to here
MSG msg;
BOOL bRet;
while ((bRet = GetMessage(&msg, NULL, 0, 0)) != 0)
{
printf("Message received\n"); //Does not print if early registration of raw input.
if (msg.message == MSG_SHUTDOWN) {
break;
}
else
{
TranslateMessage(&msg);
DispatchMessage(&msg);
}
}
threadShutdown();
return 0;
}