Although LM_NCHITTEST is defined in LCL, it only appears to be implemented for the win32 widgetset. I really don't know much about it. Maybe you could log a bug report for this and get some feedback.
Although you're not using msg in your handler, its type should probably be TLMNCHITTEST instead of TLMessage.
A couple of the Orpheus controls I ported handle this message - not sure what effect this has since it apparently doesn't work on non-win right now.
Thanks.
-Phil