Awaiting Asynchronous function inside FormClosing Event

Dialogs handle messages while still keeping the current method on the stack.

You could show a "Saving..." Dialog in your FormClosing handler, and run the actual saving-operation in a new task, which programmatically closes the dialog once it's done.

Keep in mind that SaveAsync is running in a non-UI Thread, and needs to marshal any access UI elements via Control.Invoke (see call to decoy.Hide below). Best would probably be to extract any data from controls beforehand, and only use variables in the task.

protected override void OnFormClosing(FormClosingEventArgs e)
{
        Form decoy = new Form()
        {
                ControlBox = false,
                StartPosition = FormStartPosition.CenterParent,
                Size = new Size(300, 100),
                Text = Text, // current window caption
        };
        Label label = new Label()
        {
                Text = "Saving...",
                TextAlign = ContentAlignment.MiddleCenter,
                Dock = DockStyle.Fill,
        };
        decoy.Controls.Add(label);
        var t = Task.Run(async () =>
        {
                try
                {
                        // keep form open if saving fails
                        e.Cancel = !await SaveAsync();
                }
                finally
                {
                        decoy.Invoke(new MethodInvoker(decoy.Hide));
                }
        });
        decoy.ShowDialog(this);
        t.Wait(); //TODO: handle Exceptions
}

The best answer, in my opinion, is to cancel the Form from closing. Always. Cancel it, display your dialog however you want, and once the user is done with the dialog, programatically close the Form.

Here's what I do:

async void Window_Closing(object sender, CancelEventArgs args)
{
    var w = (Window)sender;
    var h = (ObjectViewModelHost)w.Content;
    var v = h.ViewModel;

    if (v != null &&
        v.IsDirty)
    {
        args.Cancel = true;
        w.IsEnabled = false;

        // caller returns and window stays open
        await Task.Yield();

        var c = await interaction.ConfirmAsync(
            "Close",
            "You have unsaved changes in this window. If you exit they will be discarded.",
            w);
        if (c)
            w.Close();

        // doesn't matter if it's closed
        w.IsEnabled = true;
    }
}

It is important to note the call to await Task.Yield(). It would not be necessary if the async method being called always executed asynchronously. However, if the method has any synchronous paths (ie. null-check and return, etc...) the Window_Closing event will never finish execution and the call to w.Close() will throw an exception.