@Jamie:
That wouldn't help in any way.
The SDL eventloop is never ran.
@Pe3s:
Normally SDL creates its own window and takes responsibility for 'catching' the events that are generated from the 'outside'. Because the SDL window is embedded in a LCL control SDL is not able to take care of that unless running in a SDL eventloop (again: a loop that is never ran).
So, use the form drag and drop events.
Anything else is just pure speculation because there is no description of what the end-goal actually is.
As I wrote before, the concept of your solution simply does not compute.
And no matter what, either using form events or SDL events the code still needs to handle those events and actually do something with the filename. It does not matter where that exactly is done (in SDL or LCL).
In basics the SDL in the panel right now is nothing more than a glorified image control and should be treated the same.