I am not aware of such an option.
I am not sure in which order events are delivered.
If don't know if Focus and MouseDown are guaranteed to be delivered in a certain order (or whe WM_* messages for those.)
If you receive a MouseDown, and the form is not focused, then you can set a flag, and ignore mouse-click/up.
Clear the flag in MouseUp, LooseFocus, Deactivate.
If Focus comes first (i.e. the flag is not set yet), then set the flag.
What is happening is I have a PaineBox
I guess you also must catch the Mouseup.
Mind that while the mouse is down, the app can become inactive via keyboard.
So either watch for all the events that can abort, or toggle MouseCapture.