[v1s2222]

Как вариант, чем Вам не подходит?

Код:

var I:integer;
begin
  with CreateMessageDialog('message', mtConfirmation, [mbYes, mbCancel]) do
    try
    for i := 0 to componentcount - 1 do begin
       if components[i].classname = 'TButton' then
          if (components[i] as TButton).modalResult = mrYes then
            (components[i] as TButton).caption := 'A';

       if components[i].classname = 'TButton' then
          if (components[i] as TButton).modalResult = mrcancel then
            (components[i] as TButton).caption := 'B';
    end;
      Caption := 'aaa';
      ShowModal;
    finally
      Release;
    end;

Просто заменяем заголовки кнопок.
События отлавливай через ShowModal.