QMessageBox not being shown when setParent was called

1. Have a simple main function:

   #include <QApplication>
   #include <QMessageBox>
   
   int main(int argc, char *argv[])
   {
       QApplication a(argc, argv);
       QWidget w;
       QMessageBox mb;
       w.show();
       mb.show();
       return a.exec();
   }
   

2. Build and run this.
   You'll see a QMessageBox in front of a QWidget.
3. Assign a parent to the QMessageBox:

       QMessageBox mb;
       mb.setParent(&w);
       w.show();
   

4. Build and run this.
   The QMessageBox is gone.
5. Pass the parent to the ctor:

       QMessageBox mb(&w);
       mb.setParent(&w);
   

6. Build and run this.
   The QMessageBox is back again.

I think that in all three cases the QMessageBox should be shown.