This dialog box is to let you know that the program has successfully launched. If you do not see your program window, it may be hidden or minimized. Look on the task bar for Windows or dock for Mac and click the plug-in icon to bring it to the front.
We do this so that we can launch each plug-in as its own application. The above window is the only thing running in Photoshop as a plug-in. The rest of the program is launched outside of Photoshop. The upside to doing this is that if the plug-in were to crash, it would not crash Photoshop with it. If it were running as a traditional plug-in, it would likely crash Photoshop whenever the plug-in crashed.