Must I Invoke() to show dialog or MessageBox from a thread?

I'm executing a code in a worker thread. Sometimes, I need to show a dialog or a Message.

I have been playing with the code and only seems to be strictly necesary to Invoke when I pass a IWin32Window to the dialog. Otherwise works fine.

My questions are two:

1. Must I call with an Invoke?
2. What risks I have if I show the dialog or the messagebox without Invoke?

Thanks in advance