The message queue associated with a thread is a threadsafe queue. Both synchronous and asynchronous messages from multiple other thread are delivered safely no harmful date races. There is no need for any external synchronization when calling the Windows message API functions like SendMessage and PostMessage.
If two threads post or send messages to the same window at the same time, then there is no guarantee as to which message will be processed first. This is what is known as a benign race condition. If you want one message to be processed before the other then you must impose an ordering.