Have you tried?
CTRL+C on most dialogs will copy all of the text to clipboard.
Of course, there are 3rd party dialogs that are not standard Windows dialogs and they do not implement this functionality.
To be fair, it's quite a hidden feature. I've used Windows as a daily driver since 3.1 days, and I didn't discover this until late Windows XP or early Windows 7 days.
Not dialogs, but you certainly can’t copy errors/warnings from Visual Studio inline popups, which is super annoying when I occasionally develop a Windows app in Visual Studio.
So literally today i tried to install sql server developer edition, and for some reason the downloaded file was corrupted. The error msg wasn't "ctrl-c"-able, so i had to retype whatever nonsense shown on the screen.
That was Microsoft's database, from Microsoft's website, to be installed on a Microsoft's OS.
