What message do I get when I kill my program with the task manager

So, I have a C ++ dll that I use in my C # application to monitor Windows messages. I want to know if WM_CLOSE and WM_QUERYENDSESSION are sent because I do not see this from a C # application. If I receive one of these messages, I want to do some cleaning with my files, but the problem is that I kill it with TM, the functions do not work. It is stitches that I do not receive messages. I think the problem is that the task manager sends the message to the C # application, and not to the C ++ dll.

The code:

C ++:

typedef void (*CLOSING_FUNCTION)();
CLOSING_FUNCTION myClosingFunction;

typedef void (*SHUTDOWN_FUNCTION)();
SHUTDOWN_FUNCTION myShutdownFunction;

LRESULT CALLBACK WndProc(HWND hwnd, UINT message, WPARAM wParam, LPARAM lParam)
{
    switch(message)
    {

    case WM_CREATE:
        return 0;

    case WM_CLOSE:
        myClosingFunction();
        return 0;

    case WM_QUERYENDSESSION:
        myShutdownFunction();
        return 1;

    case WM_DESTROY:
        myClosingFunction();
        PostQuitMessage(0);
        return 0;
    }

    return DefWindowProc(hwnd, message, wParam, lParam);
}

WITH#:

[UnmanagedFunctionPointer(CallingConvention.Cdecl)]
private delegate void Close_Function();
private static Close_Function myCloseDelegate;

[UnmanagedFunctionPointer(CallingConvention.Cdecl)]
private delegate void Shutdown_Function();
private static Shutdown_Function myShutdownDelegate;
static void StartMonotoring()
{
       myCloseDelegate = Close;
       myShutdownDelegate = Shutdown;

       InterceptMessages(myCloseDelegate, myShutdownDelegate);
}

static void Close();
static void Shutdown();