The call statement is used to execute COBOL procedural programs as subprograms.
When you want to call a method in a COBOL class such as a Windows Forms class you need to instantiate the class as an object and then invoke its methods using the COBOL invoke statement.
You might want to take a look at the managed COBOL Concepts section of the docs here:
Example:
method-id button1_Click final private. 01 myform type testform2.Form2. procedure division using by value sender as object e as type System.EventArgs. set myform to new testform2.Form2 invoke myform::ShowDialog