I know that for Windows exists application that enables us to monitor messages that are send between active windows and desktop (I believe that application is called Spy). I wonder is there such application for X or KDE (to be more specific)?

I am interested in this because I have noticed that when I close a window with X or with close from title bar, KDE plays closing sound, but when I do that with File->Exit from the menu no sound is played. Obviously, different messages are send to server and I would like to know which are they?

Sounds like you're looking for xev?

But this probably isn't an X issue. It sounds like the KDE window manager is reacting to the two ways to close the app by raising different "events" of its own - these aren't X events I believe, they're some sort of KDE event.

If you have the source of the app, you might be able to see how it handles the two cases differently, calling the KDE API.