@zeljko, I'm starting to think that it's a bug too. I have set the ParentColor to FALSE, and changed the color by code too, but no success anyway. My system is in my signature.
@Never, I have taken care on replace the frame on the form, after changing the color. What is your system?
I have added this line for to make it works:
self.ControlStyle:=self.ControlStyle + [csOpaque];
self.Color:=clRed;