qml -apptype widget messagedialog.qml

If the window isn't centered on the screen, you can see that the dialog is centered on the screen rather than w.r.t. the app window. (But it's fine if the MessageDialog is DefaultMessageDialog rather than QMessageBox.)

In QMessageBoxHelper::show(), it does try to set its transient parent:

     virtual bool show(Qt::WindowFlags f, Qt::WindowModality m, QWindow *parent) {
        m_dialog.winId();
        QWindow *window = m_dialog.windowHandle();
        Q_ASSERT(window);
        window->setTransientParent(parent); 
 qDebug() << window << "transient for" << parent;
    … }

QMessageBoxHelper::show - QWidgetWindow(0x7fcf52d80a40, name="QMessageBoxClassWindow") transient for QQuickWindowQmlImpl(0x7fcf54a192c0)

so this might be a generic problem with widget dialogs transient for QWindow; needs testing in C++ to be sure.