This behavior is by design in a Windows Forms application. Here is link which explains this issue in detail: http://blogs.msdn.com/oldnewthing/archive/2005/05/03/414317.aspx
We have found a simple way (not so clean, though) to change this logic. Please find attached a demo app that demonstrates this approach.
Another solution would be to change the buttons' theme to one like "Vista" or "WinXpLuna", which supports alternative focus cues (such as colored inner rectangle) and does not depend on system's UI state.
the Telerik team