Type TMain = class(TForm)
  ....
  protected Procedure LastFocus(var Mess : TMessage);
    message  WM_ACTIVATE;
End;

Procedure TMain.LastFocus(var Mess : TMessage);
Begin
  IF  Mess.wParam = WA_INACTIVE Then
    PanelCaption.Color:=clInactiveCaption
  Else
    PanelCaption.Color:=clActiveCaption;

  Inherited;
End;