In all technicality, you aren't leaving the stage when still dragging (mouse down) if you started the event inside the flash applet. The second you click outside the applet, the applet will lose focus. In most cases, the applet will lose focus as soon as you mouse out of the visible applet.
I believe it's an unintended effect and not meant for normal use to be able to continue to use focus outside of the applet, otherwise Flash objects could theoretically high-jack your browser via a mapping over an entire web page.
Not that this POSSIBLY couldn't be done, but maybe a description of the problem you are trying to solve will lead to better methodology suggestions.
EDIT: After doing some digging, I came up with this as the closest thing to your situation, http://stackoverflow.com/questions/82509/is-it-possible-to-drag-and-drop-from-to-outside-a-flash-applet-with-javascript
EDIT2: More digging came up with this answer: http://stackoverflow.com/questions/1563434/detect-mouse-leave-stage-while-dragging-in-actionscript-3 If that is more of the same (not working in IE) I'm back to suggesting javascript for true cross compatibility solving issues. You could also ask the people who made the demo you displayed if this is not sufficient.