Looks like you need to set it yourself during startup of your app..
You can do it from the MainForm.OnCreate cycle..
TO make it easier for you, implement the OnDeactivate event for the main form and during the OnCreateForm event manually assign the same event to the Application.OnDeactive event so you don't need to manually create one.
While in the event, test for the SENDER to see who it is.., if its the Application object then proceed otherwise it would be the Form.OnDeactivate sending it.
Of course if this confuses you , you could manually create a TNotifyEvent method and place it in the main form's class and then assign that event to the Application.OnDeactivate event etc..