True, you will be able to get AppMessages by listening to Notify.AppMessage. Whenever an AppMessage arrives, this attribute will trigger a notification.
For AppMessage notifications, the standard MUI Royale event handler callback will get two additional entries in the table that is passed as the parameter to your event handling function:
See Notifications for details.
Notify.AppMessage is object specific. You can e.g. set up different notifications for different objects in your window, they will only get executed when icons are dropped over the specific object.
If you wait on Notify.AppMessage with a window object, your notify will always get executed when icons are dropped on the window.
Note that AppWindows are only possible on the Workbench screen.