Do you mean as well as or instead of.
Trivially of course you could just add another block of code
On Error Resume Next
Set Z = Range("P5:P1004").Find(1, LookIn:=xlValues, Lookat:=xlWhole)
Pos = Z.Row
On Error GoTo 0
If Pos >2 Then
If MsgBox("Some other message?", vbYesNo) = vbYes Then Call Cancel_Last_Action
End If
Personally if there are checks like this that need to be made in VBA I find it easier to create an IF() type formula in Excel, give it a range name then read the value of that name in VBA and process accordingly. e.g. if the check name in Excel was a range called "Check", in VBA
IF Range("Check") = "Yes" Then
MsgBox ("blah, blah")...
Else
MsgBox ("blah, blah")...
End If
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