Making simple test gives the answer, I just tried:
procedure TForm1.Button1Click(Sender: TObject);
begin
if (MessageDlg('1', mtConfirmation, [mbYes, mbNo], 0) = mrYes)
and (MessageDlg('2', mtConfirmation, [mbYes, mbNo], 0) = mrYes) then
ShowMessage('yes, yes');
end;
If your first answer is no, you are not asked for second time. Try it.
Only if you put {$B+} above the procedure, you are asked the second time, regardless of your first answer.
So, the default is short-curcuit.