It looks like you're trying to partially duplicate the behavior you see in a Chart in Excel. You can click on any object in the chart, and it is selected (has focus), but if you click outside the chart area, but still within the chart object, nothing is selected.
This would be very familiar behavior to people who are used to charts in Excel.
Basically, you need a control that will normally accept the focus. I've wrestled with this same problem in the past. The best solution I have come up with (and by 'best' I don't mean it's actually good) is to create a blank textbox, and position it behind your UserControl. Then your code for clicking on the usercontrol looks like this:
Protected Overrides Sub OnMouseClick _
(ByVal e As System.Windows.Forms.MouseEventArgs)
MyBase.OnMouseClick(e)
myFakeTextBox.Focus()
End Sub
The user never sees this textbox getting the focus. All they see is that now nothing is selected in the form, and they are free to go about their business.
This method works just fine, but from a maintenance standpoint it is a bit of a headache, as you have to remember that the phony textbox is there and what it's good for.