Delphi XE and Trapping Arrow Key with OnKeyDown

Key messages are processed by the controls themselves who receives these messages, that’s why when you’re on a button the form is not receiving the message. So normally you would have to subclass these controls, but the VCL is kind enough to ask the parenting form what to do if the form is interested:

type
  TForm1 = class(TForm)
    ..
  private
    procedure DialogKey(var Msg: TWMKey); message CM_DIALOGKEY;
    ..


procedure TForm1.DialogKey(var Msg: TWMKey); 
begin
  if not (Msg.CharCode in [VK_DOWN, VK_UP, VK_RIGHT, VK_LEFT]) then
    inherited;
end;

François editing: to answer the OP original question, you need to call onKeyDown somehow so that his event code would work (feel free to edit; was too long for a comment).

type
  TForm1 = class(TForm)
    Button1: TButton;
    Button2: TButton;
    Button3: TButton;
    Button4: TButton;
    procedure FormKeyDown(Sender: TObject; var Key: Word; Shift: TShiftState);
  private
    { Private declarations }
    procedure DialogKey(var Msg: TWMKey); message CM_DIALOGKEY;
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.DialogKey(var Msg: TWMKey);
begin
  case Msg.CharCode of
    VK_DOWN, VK_UP, VK_RIGHT, VK_LEFT:
      if Assigned(onKeyDown) then
        onKeyDown(Self, Msg.CharCode, KeyDataToShiftState(Msg.KeyData));
    else
      inherited
  end;
end;

procedure TForm1.FormKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  case Key of
    VK_DOWN: Top := Top + 5;
    VK_UP: Top := Top - 5;
    VK_LEFT: Left := Left - 5;
    VK_RIGHT: Left := Left + 5;
  end;
end;