It is best to keep in mind that the odds that you will write correct code are not very good. And the generic advice is don't do it! It is never necessary, the UI thread of a GUI program in Windows was entirely structured to make it simple to allow code that runs on another thread or inside a process affect the UI of the program. The point of the message loop, the universal solution to the producer-consumer problem. PostMessage() is your weapon to take advantage of it.
Before you forge ahead anyway, start by thinking about a simple problem that's very hard to solve when you use SendMessage. How do you close a window safely and correctly?
Given is that the exact moment in time that you need to close the window is entirely unpredictable and completely out of sync with the execution of your worker thread. It is the user that closes it, or asks the UI thread to terminate, you need to make sure that the thread has exited and stops calling SendMessage before you can actually close the window.
The intuitive way to do this is to signal an event in your WM_CLOSE message handler, asking the thread to stop. And wait for it to complete, then the window can close. Intuitive, but it does not work, it will deadlock your program. Sometimes, not always, very hard to debug. Goes wrong when the thread cannot check the event because it is stuck in the SendMessage call. Which cannot complete since the UI thread is waiting for the thread to exit. The worker thread cannot continue and the UI thread cannot continue. A "deadly embrace", your program will hang and needs to be killed forcibly. Deadlock is a standard threading bug.
You'll shout, "I'll use SendMessageTimeout!" But what do you pass for the uTimeout argument and how do you interpret an ERROR_TIMEOUT error? It is pretty common for a UI thread to go catatonic for a while, surely you've seen the "ghost window" before, the one that shows 'Not Responding` in the title bar. So an ERROR_TIMEOUT does not reliably indicate that the UI thread is trying to shut down unless you make uTimeout very large. At least 10 seconds. That kinda works, getting the occasional 10 second hang at exit is however not very pretty.
Solve this kind of problem for all the messages, not just WM_CLOSE. WM_PAINT ought to be next, another one that's very, very hard to solve cleanly. Your worker thread asks to update the display a millisecond before the UI thread calls EndPaint(). And thus never displays the update, it simply gets lost. A threading race, another standard threading bug.
The third classic threading bug is a fire-hose problem. Happens when your worker thread produces results faster than the UI thread can handle them. Very common, UI updates are pretty expensive. Easy to detect, very hard to solve and unpredictable when it occurs. Easy to detect because your UI will freeze, the UI thread burns 100% core trying to keep up with the message rate. It doesn't get around to its low-priority tasks anymore. Like painting. Goes wrong both when you use SendMessage or PostMessage. In the latter case you'll fill the message queue up to capacity. It starts failing after it contains 10000 unprocessed messages.
Long story short, yes, SendMessage() is thread-safe. But thread-safety is not a transitive property, it doesn't automatically make your own code thread-safe. You still suffer from all the things that can go wrong when you use threads. Deadlocks, races, fire-hosing. Fear the threading beast.
