Yes, the only button combinations that work on Windows are:
const
mbYesNo = [TMsgDlgBtn.mbYes, TMsgDlgBtn.mbNo];
mbYesNoCancel = [TMsgDlgBtn.mbYes, TMsgDlgBtn.mbNo, TMsgDlgBtn.mbCancel];
mbYesAllNoAllCancel = [TMsgDlgBtn.mbYes, TMsgDlgBtn.mbYesToAll, TMsgDlgBtn.mbNo,
TMsgDlgBtn.mbNoToAll, TMsgDlgBtn.mbCancel];
mbOKCancel = [TMsgDlgBtn.mbOK, TMsgDlgBtn.mbCancel];
mbAbortRetryIgnore = [TMsgDlgBtn.mbAbort, TMsgDlgBtn.mbRetry, TMsgDlgBtn.mbIgnore];
mbAbortIgnore = [TMsgDlgBtn.mbAbort, TMsgDlgBtn.mbIgnore];