class PreferencesMain: public CDialogImpl<PreferencesMain>, public preferences_page_instance
{
public:
	enum {IDD = IDD_MAINPREFS};

	BEGIN_MSG_MAP(PreferencesMain)
		MSG_WM_INITDIALOG(OnInitDialog)
		COMMAND_HANDLER(IDC_B_CATGETINFO, BN_CLICKED, GetCatalogInfo)
		COMMAND_HANDLER(IDC_B_TESTPOST, BN_CLICKED, TestPostMessage)
		MESSAGE_HANDLER_EX(WUM_SHOW,OnUserMessageShow)
	END_MSG_MAP()

  LRESULT GetCatalogInfo(WORD /*wNotifyCode*/, WORD /*wID*/, HWND /*hWndCtl*/, BOOL& /*bHandled*/)
{
	service_ptr_t<threaded_process_callback> catInfo = new service_impl_t<Catalog_info>();
//Catalog_info it's implemented threaded_process_callback
	static_api_ptr_t<threaded_process>()->run_modeless( catInfo,
			threaded_process::flag_show_abort,
			this->m_hWnd,//Maybe there is error...?
			"Checking...");
	return 0;
}

  LRESULT TestPostMessage(WORD /*wNotifyCode*/, WORD /*wID*/, HWND /*hWndCtl*/, BOOL& /*bHandled*/){
//when I press IDC_B_TESTPOST message is posted and processed, and IDC_EDIT1 is changed
		::SetDlgItemTextW(  this->m_hWnd, IDC_EDIT1, L"Local SetDlg");
		::PostMessage(this->m_hWnd, WUM_SHOW, (WPARAM)0, (LPARAM)0);
     return 0;
    }

  LRESULT OnUserMessageShow(UINT, WPARAM, LPARAM){
		console::formatter()<<"It's working!";//but only with one button
     return 0;
    }
....


//Most important - in my problem - part of Catalog_info 

void Catalog_info::on_done(HWND p_wnd,bool p_was_aborted) {//This not working
    ::SetDlgItemTextW(p_wnd, IDC_EDIT1, L"SetDlg from on_done");//on_done is in main thread, so this should be safe... Right?
    ::PostMessage(p_wnd ,WUM_SHOW,(WPARAM)0, (LPARAM)0);
}

• Your on_done is never actually called. You can verify this by putting a logging statement directly into this method.
• The p_wnd you get in on_done is not the p_parent you passed to run_modeless. If you check the documentation of threaded_process and threaded_process__callback you'll notice there is no description about what the p_wnd in on_done is.
  So to be on the safe side you should store the window handle of your preferences page in your Catalog_info instance and pass a suitable parent window to run_modless. Even better, you could store a reference to the PreferencesMain instance in Catalog_info and add a method in PreferencesMain which will be called in on_done. This avoids exposing the internals of PreferencesMain to Catalog_info.

The p_wnd you get in on_done is not the p_parent you passed to run_modeless. If you check the documentation of threaded_process and threaded_process__callback you'll notice there is no description about what the p_wnd in on_done is.

So to be on the safe side you should store the window handle of your preferences page in your Catalog_info instance and pass a suitable parent window to run_modless.(..)