By default RadPanelBar style (i.e. RadPanelBarItem style) contains a VisualState section containing the logic about visual behavior when item is selected, expanded, focused and so on. When item is clicked with the left mouse button it is selected and the corresponding selected visual state is triggered. In the selected visual state the selection visual is made visible and displayed to the user (the orange rectangle).
First approach would be to programmatically select the item when it is focused (when user presses tab and the focus moves to the item).
Furthermore, if you want to change the default color, you could customize the default visual states and control template. You could use the following article for reference: http://www.telerik.com/help/silverlight/common-styling-appearance-edit-control-templates-blend.html .
Another approach would be to edit the control template and visual states by showing the selection visual (or another element) in the focused state. Thus the item will look as if it is selected.
Hope this helps. Please let us know if you need more info.