1. A method, implemented at a computing system that includes one or more processors and system memory, of managing messages across a performance-based interface between a native code layer and a managed code framework, comprising: an act of the computer system initializing the performance-based interface between a managed code framework and a native code layer, the performance-based interface being configured to exchange messages between the managed code framework and the native code layer; an act of the computer system initializing a filter component for the native code layer, the filter component being configured to forward only messages of interest from the native code layer to the managed code framework; an act of the managed code framework initializing one or more managed objects within the managed code framework, the managed objects having corresponding attached event handlers for handling messages sent from the native code layer to the managed code framework; an act of the managed code framework performing reflection on the one or more managed objects and, as a result of performing reflection, the managed code framework determining the existence of a particular object having been instantiated within the managed code framework for handling corresponding messages; an act of the managed code framework determining the particular object is a custom object upon detecting that message handling of the custom object has been modified to modify a way in which the custom object handles the corresponding messages; in response to detecting that message handling of the custom object has been modified, an act of the managed code framework notifying the native code layer that responses to one or more messages sent from the managed code framework that are associated with the custom object having the modified message handling are of interest and should be forwarded from the native code layer in accordance with the modified message handling of the custom object; and an act of the filter component forwarding responses to the one or more messages to the managed code framework during a lifetime of the custom object in accordance with the modified message handling.