On win32 another option is to grab the handle of a real web browser and do some setparent() tricks.. Actually in windows 2000 I don't think setparent works across process boundries. But you could still setwindowpos and lock a real web browser into a lazarus form.
I'm not expert enough in GTK on linux to know if you can do the same thing - like setwindowpos. In windows I've done this before when I need to take another application and steal it into my own.. for example, locking an internet explorer window into a form without ever using an activex component. In Windows 98 I think it was possible with a single setparent call and a few stayontop tricks using the windows API - then in windows 2000 and up, one had to use setwindowpos and stayontop trick. In GTK I have no idea.
That's just an alternative for you to think about if you can't get a component ready. This idea works good for other web browsers such as Opera or other programs, because Opera and other programs will never have a ActiveX style component. But by using this setwindowpos and stayontop tricks you can take any web browser, whether it has activex style control or not, and lock it (steal it) into your application.