AutoHotkey Community

The BUGUser pressed "Esc" but MsgBox return "OK". Actually in this case MsgBox return only "OK".
In this case MsgBox must return "" (nothing) when pressed "Esc" or clicked on "X".
In this case MsgBox return "OK" only if user pressed "OK" and "Cancel" when "Esc" or "X".

Suggestion:
If MsgBox closed with "X" then return ""
If MsgBox have option "Cancel" then when pressed "Esc" return "Cancel" else return "".

Best: when "Esc" or "X" return ""

It is documented behaviour,

msgbox wrote:The Close button (in MsgBox's title bar): Since the MsgBox window is a built-in feature of the operating system, its X button is enabled only when certain buttons are present. If there is only an OK button, clicking the X button is the same as pressing OK. Otherwise, the X button is disabled unless there is a Cancel button, in which case clicking the X is the same as pressing Cancel.

In other words using MsgBox without options is not recommended because no deference in answers.