Same goes for horizontal and vertical scrollbars.
I don't think TKMemo implemens the ssAuto* at all.
It only does ssBoth, ssVertical and ssHorizontal.
And they are all "auto".
BTW. I don't think you should use ssAuto* in TKMemo because it just doesn't do anything (i.e. ssAutoBoth doesn't show a scrollbar when the window get too smal).
When using WS_HSCROLL and WS_VSCROLL in CreateWindow(Ex) Windows only creates the scrollbars when needed. Not persistent.
TMemo works with a separate TMemoScrollbar (FVertScrollbar/FHorzScrollbar) for the ssBoth (and other non ssAuto* values).
But it also sets the WS_HSCROLL and WS_VSCROLL for ssBoth.
So I'm not entirely sure how it hides it's own F*Scrollbar when the one for Windows kicks in

But... yes, you need to create your own scrollbar...
You can look at the source for TMemo how it is done there.