That's what I was thinking, but I found an article from 1994 claiming that ole would be shortly moving to the DCE RPC protocol instead of using window messages (and so they did).
I guess they didn't purge window messages entirely.
Actually, it looks like they didn't: http://www.microsoft.com/msj/0596/activex0596.aspx
so it seems window messages are still used for RPC when no networking is involved.