need ways to filter certain windows message, without blocking everything about hudhook HOT 1 CLOSED

The example program you are targeting is hardly a supported use case. As you yourself mention, games don't rely on WM_PAINT because that's generally intended for desktop applications (see documentation).

WM_PAINT generally happens as a consequence of interaction whereas games will render their frames continuously and will flat-out ignore it. For this reason, should_block_messages is going to get invoked every frame unconditional of incoming messages. The current asynchronous messaging design relies on this assumption to minimize the computations happening in the window procedure.

If you have an alternative design to suggest, that can selectively block messages without introducing too much overhead, feel free to share that through a pull request!

from hudhook.