Here the sequence of execution:

LOCAL llReturn
thisform.lIsClosing = .t.
if type('THISFORM.ActiveControl') = 'O' and not ;
   isnull(thisform.activecontrol) and PEMSTATUS(thisform.activecontrol,'valid',5) ;
   and inlist(lower(thisform.activecontrol.baseclass),'textbox','editbox')
   thisform.activecontrol.valid()
endif

llReturn = .t.
lnReply = This.AskToSave()
IF lnReply = IDCANCEL OR lnReply = IDMUSTKEY
   *-------------------------------------------
   *--- Reset the nGoToPageOnCancel property
   *--- if it has been changed.
   *-------------------------------------------
   IF lnGoToPageOnCancel != 0
      This.nGoToPageOnCancel = lnGoToPageOnCancel
   ENDIF
*** Deny form to be closed.
   NODEFAULT       
   m.llReturn = .f. &&RETURN .F.
****
ENDIF

thisform.lIsClosing = .f.
RETURN m.llReturn

So, I think there is no problem with your code.