An example situation is an application's debug tool, where a child form can 'pop up', display some internal diagnostic and (after a few seconds) go away. Currently, while it is visible, it is (annoyingly) taking key focus away from the parent. Another example would be some database with child forms of varying size showing statistics, images etc. When these child forms are resized / moved they acquire key focus. If the child forms negotiate with the message pump (either at creation or in situ), they could respect the parent's key stream. I'm suggesting a disconnect between the graphic-message and the key-message streams depending on the child form's purpose.
Displays have become enormous. One consequence is the desire to fill it with lots of stuff - images - stats - annunciators of all ilk. Designed as child forms, placement is for / at the convenience of the user - but operationally secondary to the parent. If the user moves one of these child forms, 'later' it can be confusing as to which has key focus. The user eventually figures out keystrokes are not registering on the form of choice - they click on the parent and off they go - annoyed.
Yes, the parent form can proactively protect it's key stream - (this is) just a different approach that may offer benefits.