Moises,
Release is a method and the others you listed are events. Events fire automatically on something happening, methods are called by code. The release method has the default behavior of releasing the form or object it belongs to, so when you call it it will start the destruction sequence of events.
You need to get events and methods separated in your head as they behave very differently.
As for your test, using wait window, you are affecting the sequence because you are creating a new window and causing a focus shift.
A better way to study the sequence of events is to use the Event Tracking facility of the debugger.