How to call WebDialogResult multiple times in a loop?

It is related to the way Web Dialogs work in the framework. 

In fact, when you call a web dialog, it throws an exception and remembers the current method where the exception has been thrown from. It then sets ‘Dialog Answer’ variable to the view and executes the method again.

So, to make your code work, you’ll need to reset dialog answer in the PaymentCalendar view

foreach (DateTime dateTime in dateTimeList)
{
    WebDialogResult result = PaymentCalendar.Ask(ActionsMessages.Warning, 
         PXMessages.LocalizeFormatNoPrefix(textMessage), MessageButtons.YesNo, 
         MessageIcon.Warning, true);

         if (result != WebDialogResult.Yes) 
         {
             PaymentCalendar.View.Answer = null;
             continue;
         }

}