I created a sequence with a call to another sequence, specified that it runs in a new execution, selected the "Initially Hidden and Disable Tracing", "Do not wait", and "Do not use process model" options, and ran it.
It worked fine, no execution window appeared for the subsequence, but the message popup step I put in my subsequence appeared and stayed operable even after then parent sequence had completed.
You should probably double check the settings on your sequence call.