Yes it is a bug in Delphi TWebBrowser. Or they want us to believe that it is as designed so you only use web browser for viewing web pages with no interaction. However there is a workaround for it
procedure TFormBrowserAdd.ButtonNavigateClick(Sender: TObject);
begin
WebBrowser.CanFocus := True;
WebBrowser.Navigate(EditUrl.Text);
WebBrowser.SetFocus;
end;
You can read the whole article here. Also check this Stackoverflow entry. There is also a QC report that is marked resolved which might indicate that the fix will be shipped in XE6 or later.