switch "transfer of control bypasses initialization of:" when calling a function

section 6.6.4 of the C++ standard:

The goto statement unconditionally transfers control to the statement labeled by the identifier. The identifier shall be a label (6.1) located in the current function.

section 6.7 of the C++ standard:

It is possible to transfer into a block, but not in a way that bypasses declarations with initialization. A program that jumps from a point where a local variable with automatic storage duration is not in scope to a point where it is in scope is ill-formed unless the variable has POD type (3.9) and is declared without an initializer

Emphasis added by me. Since switch is really goto in disguise, you're encountering this behavior. To solve this, add braces if you must use a switch

switch (retrycancel)
    {
    case 4:
    {
        const std::vector<MainHandles::window_data> windows(
            MainHandles().enum_windows().get_results()
        );
        break;
    }
    case 2: 
        //code
    }

or refactor into if/else

if (retrycancel == 4) {
    const std::vector<MainHandles::window_data> windows(
        MainHandles().enum_windows().get_results()
    );
} else if (retrycancel == 2)
    // code
} else {
    ...
}

Though it's not obvious to me what you're hoping to accomplish with creating the windows vector inside a switch, so you may want to rethink your design. Note I added a const qualifier to windows since it's not modified in your example.

a switch is essentially a goto, that is, it is a goto to the appropriate label. The C++ standard forbids a goto to bypass an initialization of a non-POD object. Take the vector declaration into braces and it will solve the problem

switch (retrycancel)
    {
     case 4:                //The user pressed RETRY
     {
        std::vector<MainHandles::window_data> windows = MainHandles().enum_windows().get_results(); //Enumerate all visible windows and store handle and caption in "windows"
        break;
     }
    case 2: 
        //code
    }