I have found the answer to this. I discovered I had added a CreateParams override that did this:
// make a taskbar window
inherited CreateParams( params );
params.ExStyle := params.ExStyle or WS_EX_APPWINDOW;
params.WndParent := GetDesktopwindow; // this line caused the problem
Commenting the WndParent solved it. The effect is bizarre though. It is as if there is a timer that goes off about a second after any key or mouse event that forces the window behind others. Thanks to David Heffernan whose comments about stepping CreateParam made me notice it.