This works around a rare issue in the DialogsDemo where the AlertWindow
would fail to display because no peer had focus.

It seems like shared_from_this may not be enabled when a unique_ptr is
assigned to a shared_ptr (although it *should* be enabled when
constructing a new shared_ptr from a unique_ptr). Functions that return
objects that may need to use shared_from_this now return shared_ptr,
just to be safe.

Additionally, in some cases, shared_from_this was being called from
Thread::run after the last reference to the shared object had been
released. We now call shared_from_this during 'open', which will always
run on the message thread while at least once reference to the shared
object is alive.