there is a workaround: You could use “Parallel” activity.
The trick is that you should put each parallel branch into a separate workflow like indicated in image below:
In your case it will be "flow of getting all the data " in one workflow and message box in the second.
Each workflow should be started with Isolated = YES to allow true parallel execution.
Condition property of the Parallel activity should be set to TRUE to finish the whole activity once the first workflow finish.
In your case it will be the first workflow "getting all the data ", the second with message box will be terminated.
NOTE: You could improve the above by defining a boolean out argument in the first workflow which will be set to TRUE after completion first workflow and tested in the Condition property of the Parallel activity. It would ensure that the Parallel activity will be terminated only after finishing the first workflow (i.e. not in case someone close the message box).