This is a known bug in Delphi 2010 support for "glass" (Aero Composition using DWM), I believe it was fixed in Delphi XE, and the workaround that I chose to use is to use my own custom TButton-like class.
I reported this bug to Embarcadero when I saw it in 2010, as did others, I can't seem to find the QC# (bug report #), but the suggested workaround with double-buffered is not acceptable to me. TBitBtn
did not exhibit this problem I believe and was my simplest workaround, although it had other issues.
There are a lot of glass issues in Delphi 2010. General advice; Upgrade Delphi.