It turned out that App.ConfirmExit doesn't work in windows desktop App (Windows 10, last version of the Desktop PowerApp).
I just set it true and it true and it never shows the message on exit.
App.ConfirmExit still correctly works on Android app.
In browers also works incorrectly it always shows standard message and ignores message from App.ConfirmExitMessage property.
I appriciate any help on this.