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Integrate C++ DLL with C# GUI asynchronously (design issue)

This is more a design than an implementation question. I am aware of how to integrate a C++ DLL within a C# main app that acts as GUI. Believe me that I've read all other questions on similar topics, ...
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What to unit-test when loading a dll?

I wrote a wrapper class that is using a dll. I have a LoadLibrary() function and have wrapped all the functions the dll exports (to match my error codes). I am not too familiar with unit testing. I ...
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In what situations do mutually dependent modules have an advantage?

Earlier today I created two mutually dependent, implicitly linked DLLs just to see if this was possible: http://i.imgur.com/GMACpnC.jpg I am just curious; in general, what advantages might this kind ...