I try to get rid of some Windows callbacks and variables in global scope. The Windows callbacks can be made class member methods (i.e. static), extracting the right instance and invoking the callback of that instance:

if (WM_NCCREATE == uMsg) {
            const LONG_PTR replacement_value = (LONG_PTR)((CREATESTRUCT *)lParam)->lpCreateParams;
            SetWindowLongPtr(hwndDlg, GWLP_USERDATA, replacement_value);
            return TRUE;
}

((DeviceEnumeration *)GetWindowLongPtr(hwndDlg, GWLP_USERDATA))->SettingsDialogProc(hwndDlg, uMsg, wParam, lParam);

This works by passing "this" as the "lpParam" in "CreateWindow".

Is a similar approach possible for "DialogBox"?

I found a solution: you can use DialogBoxParam method/macro instead of DialogBox method/macro. The DialogBox wraps DialogBoxParam but does not expose the dwInitParam, which you can use for passing data in the LPARAM for a WM_INITDIALOG message.

Here, I just pass this as actual parameter for the formal parameter dwInitParam of DialogBoxParam:

const INT_PTR result_dialog = DialogBoxParam(nullptr, MAKEINTRESOURCE(IDD_GRAPHICS_SETTINGS), 
            nullptr, SettingsDialogProcDelegate, reinterpret_cast< LPARAM >(this));

Next, the class member Window callback is defined as:

INT_PTR CALLBACK DeviceEnumeration::SettingsDialogProcDelegate(
        HWND hwndDlg, UINT uMsg, WPARAM wParam, LPARAM lParam) {

        DeviceEnumeration *device_enumeration = nullptr;

        if (WM_INITDIALOG == uMsg) {
            device_enumeration = reinterpret_cast< DeviceEnumeration * >(lParam);

            const LONG_PTR replacement_value = reinterpret_cast< LONG_PTR >(device_enumeration);
            // Changes an attribute of the specified window.
            // 1. A handle to the window and, indirectly, the class to which the window belongs.
            // 2. Sets the user data associated with the window.
            // 3. The replacement value.
            SetWindowLongPtr(hwndDlg, GWLP_USERDATA, replacement_value);
        }
        else {
            // Retrieves information about the specified window.
            // 1. A handle to the window and, indirectly, the class to which the window belongs.
            // 2. Retrieves the user data associated with the window.
            device_enumeration = reinterpret_cast< DeviceEnumeration * >(GetWindowLongPtr(hwndDlg, GWLP_USERDATA));
        }

        return device_enumeration->SettingsDialogProc(hwndDlg, uMsg, wParam, lParam);
    }