Note:
If ListBox1 has focus, the focus border overlays the frame, but the listbox is still behind the frame.
Also; I used your first example, and just compiled it without modifying anything.
To change focus I used the TAB key.
Also note that I'm using Lazarus from trunk (SVN).
Lazarus 2.1.0 r61292M FPC 3.0.4 x86_64-darwin-cocoa (alpha)