Back in November 2020 I submitted bug reports for Laz 2.0.8 (38099 and 38101) about the above events not firing except when the mouse cursor is positioned in the small space between the component buttons.
The bugs were fixed in r64147, r66151, r643369. I then used the trunk version of Lazarus and didn't have any problems.
I have recently installed Laz 2.0.12 (32 bit) and it looks like the original behaviour is back again - the events don't fire as they should. Perhaps the revisions were omitted from the latest version?