This is normal behavior. You simply need to understand: you don't need anything else. Of course, if you click "elsewhere", which should mean "not on other focusable control", the windows message
WM_KILLFOCUS
is not sent, but focus is not shifted. The focus is a keyboard focus: at any given moment, only one control of the whole system can have it. The only way to loose focus is to focus some other control. Indirectly, it can also happen with activation of the top-level window, which is not focusable but gives the focus to one of its controls, it any.
In all cases, when a control looses focus, it gets the message
WM_KILLFOCUS
before it happens, see
http://msdn.microsoft.com/en-us/library/windows/desktop/ms646282%28v=vs.85%29.aspx[
^].
—SA