Holy cow, I wrote a book!
WS_EX_CLIENTEDGE extended window style allows you to create
a window whose client area is "sunken". When should you use
Guidelines for User Interface Developers and Designers
says in the section on
the Design of Visual Elements that
the sunken border should be used "to define the work area within a
Specifically what this means is that a sunken client area indicates
that the window is a "container".
So, for example, the Explorer contents pane gets a sunken client area
since a folder "contains" its elements. Users expect to be able
to manipulate the items inside a container.
By contrast, a dialog box is not a container, so it doesn't get
a sunken client area.
At least those were the rules back in 1995.
Perhaps the rules have changed since then.
(Indeed I wouldn't be surprised if they have.)