Hi Celia, when a error message is showed with popup, the python execution is stopped (It has been thrown an exception), and the control is managed by javascript.

You should change the javascript functionality for your purpose.

 Juan Vicente I see that answer in others answers, but if I close the wizard I can't display an error message. :(

Isaac, do you know where and how I have to do the change necessary in JavaScript code? 

Thanks for your answer! And ideas! ^^   

take a look at this,

return {'type': 'ir.actions.act_window_close'}

Kind Regards.