<p>Why should I choose to use one instead of the other and in which cases?</p>

<p>I mainly focus on desktop applications and personally speaking I do find the humble dialog box more easy and natural to use.</p>

In MVC, you would still use your "humble" dialog. Except all the business logic for it would be farmed off to another class somewhere else.
http://en.wikipedia.org/wiki/Model-view-controller
You need to weight up whether the investment in MVC will be worth it - especially if you're only working with a single simple dialog.