If you are using the main C++ distribution of wxWidgets, Feel free to ask any question related to wxWidgets development here. This means questions regarding to C++ and wxWidgets, not compile problems.
The Key Events propagates from the MainFrame Window to it's childs. The problem I've had is been fixed by removing the wxTAB_TRAVERSAL from the MainFrame Window and setting the wxWANTS_CHARS in the wxPanels I'm using to let the laying controls knows about the user KeyPresses.