CancelListener on Dialog Not Work Java Android? How to Use It?

Question

I want to create a Fragment Dialog such as BottomSheetDialog, AppCompactDialog, and so on. And when dismissing the dialog, I want to raise a question first. Where does the dialog proceed to dismiss or cancel. Therefore I want to utilize the OnCancelListener event as the path. However, when I tried it, the setOnCancelListener event function did not run or work properly. Why is that?

public class MyExample extends Activity implements DialogInterface.OnCancelListener {
    @Override
    public void onCreate(@Nullable Bundle savedInstanceState, @Nullable PersistableBundle persistentState) {
        super.onCreate(savedInstanceState, persistentState);
        Dialog exDialog = new Dialog(this);
        exDialog.setCancelable(false);
        exDialog.setCanceledOnTouchOutside(false);
        // ↓ THIS METHOD NOT WORKING, WHY??
        exDialog.setOnCancelListener(this);
        exDialog.setTitle("Example Dialog");
        exDialog.show();
    }

    // ↓ EVENT NOT WORK AFTER TOUCH SCREEN DEVICE
    @Override
    public void onCancel(DialogInterface dialog) {
        AlertDialog.Builder alertDialog = new AlertDialog.Builder(this);
        alertDialog.setTitle("Exit Application")
                .setMessage("Are You Sure to Exit Application?")
                .setNegativeButton("OK", new DialogInterface.OnClickListener() {
                    public void onClick(DialogInterface subDialog, int id) {
                        // ↓ Dismiss ExampleDialog from cancel handling.
                        dialog.dismiss();
                    }
                })
                .setPositiveButton("Cancel", new DialogInterface.OnClickListener() {
                    public void onClick(DialogInterface subDialog, int id) {
                        // ↓ Not return to dismiss when this button clicked.
                        dialog.cancel();
                    }
                }).show();
    }
}

Problem Method setOnCancelListener not working.

exDialog.setOnCancelListener(this);

And not handling to method event onCancel(DialogInterface dialog)

public void onCancel(DialogInterface dialog) {
....
}

Because I want to make return dismiss or cancel Dialog from method of AlertDialog :

.setNegativeButton("OK", new DialogInterface.OnClickListener() {
    public void onClick(DialogInterface subDialog, int id) {
        // ↓ Dismiss ExampleDialog from cancel handling.
        dialog.dismiss();
    }
})
.setPositiveButton("Cancel", new DialogInterface.OnClickListener() {
    public void onClick(DialogInterface subDialog, int id) {
        // ↓ Not return to dismiss when this button clicked.
        dialog.cancel();
    }
}).show();