Es que precisamente los SpeedButtons son TGraphicControl.
Cita:
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Empezado por Ayuda de Delphi
TGraphicControl supports simple lightweight controls that do not need the ability to accept keyboard input or contain other controls. Since lightweight controls do not wrap Windows screen objects, they are faster and user fewer resources than controls based on TWinControl.
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Para que pueda recibir foco, tienes que usar algun botón del tipo TWinControl, como los TBitBtn o los TButton.
Saludos!