[paldave]

Así ya funciona.
También podrías campturar el evento OnClick así:

Código Delphi [-]
unit HostPanel;

interface

uses
  SysUtils, Classes, Controls, ExtCtrls,Graphics;

type
  THostPanel = class(TPanel)
  private
    { Private declarations }
  protected
    { Protected declarations }
  public
    procedure EventoClick(Sender:TObject);
    constructor Create(AOwner:TComponent);override;
  published
    { Published declarations }
  end;

procedure Register;

implementation

procedure Register;
begin
  RegisterComponents('Samples', [THostPanel]);
end;

constructor THostPanel.Create(AOwner: TComponent);
begin
  inherited Create(AOwner);
  self.OnClick := EventoClick;
end;

procedure THostPanel.EventoClick(Sender: TObject);
begin
  self.Color:=Random($7FFFFFFF);
  Repaint;
end;

end.

pero me parece más complicado.