没问题，效果很好

var
CustomButtonCaptions: array of string;
begin
 SetLength(CustomButtonCaptions , 5 );
 CustomButtonCaptions[0] := 'Button-1';
 CustomButtonCaptions[1] := 'Button-2';
 CustomButtonCaptions[2] := 'Button-3';
 CustomButtonCaptions[3] := 'Button-4';
 CustomButtonCaptions[4] := 'Button-5';

  case MessageDlg('MSG',TMsgDlgType.mtConfirmation,mbYesAllNoAllCancel,0,TMsgDlgBtn.mbClose,CustomButtonCaptions) of
      0:
      begin

      end;
  end;
end;

//或

MessageDlg('MSG',TMsgDlgType.mtConfirmation,mbYesAllNoAllCancel,0,TMsgDlgBtn.mbClose, TArray<string>(VarArrayOf(['Button-1','Button-2','Button-3','Button-4','Button-5'])))

//或

MessageDlg('MSG',TMsgDlgType.mtConfirmation,mbYesAllNoAllCancel,0,TMsgDlgBtn.mbClose, ['Button-1','Button-2','Button-3','Button-4','Button-5']);