Looking into various MVVM frameworks for SL. In the Caliburn documentation I saw a code in a controller that calls MessageBox. Is this right or is this just for intro? Is there something like MessageBox service in Caliburn like in Chinch MVVM?
It's indeed introductive code, just to demonstrate that the controller method is actually executed. Yet, I agree on the issue you pointed out: the presence of raw UI code in the presenter could lead to an inappropriate mix of view concerns.
About the MessageBox service: in Caliburn v2 (trunk), ShellFramework module, there is a Question/Answer ViewModel abstracting the functionality of a MessageBox, with the advantage of letting you to design the UI for the dialog. Also, it's very straightforward to roll your own IMessageBox abstraction and provide a basic implementation using the default WPF MessageBox.
Marco is correct. This is just to demonstrate that the action is called. I wouldn't recommend this in practice. I will try to make some changes to the samples or add some comments that make this clearer. Caliburn has services built-in for calling custom message boxes.