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;