All Windows window-managing programs have a controlling event loop. This is because the way Windows works is to pass events (or messages) to programs and it expects the programs to act on these messages immediately. Examples of events or messages are "redisplay your window", " button 1 was clicked", "close your application". Each program receives messages and takes action on the messages received.
A PowerCOBOL sheet receives the messages in its main procedure and determines the type of message in the "EVALUATE POWER—MESSAGE" statement. The main procedure then calls internal sub-programs to handle the events.
When debugging within PowerCOBOL you do not see the main event loop, as PowerCOBOL only shows the code that you wrote.