I have a container.
I want to redirect the method gotfocus of ALL objects in a container.

Call the method, passing an object reference to the topmost container.
Suppose the method is called redirectGotFocus. Here is your modified code
(off the top of my head and untested):

LPARAMETERS toObject
LOCAL loControl
*---------------------------------------------------------------------------------
FOR EACH loControl IN toObject.OBJECTS
*--------------------------------------------------------------------------------- 
  IF PEMSTATUS( loControl ,'GotFocus',5)  
    * 0 00 Call delegate code before event code. (Default)  
    * 1 01 Call event code before delegate code.  
    * 2 10 Do not trigger event (call delegate code) when a simple method calloccurs. 
    BINDEVENT( loControl,"GotFocus" , Thisform, "CustomGotFocus" , 0 )  
    IF loControl.Objects.Count > 0
      Thisform.redirectGotFocus( loControl )
    ENDIF
  ENDIF
ENDFOR

The point is that if the objects in your container are also containers, you need to drill down into them too.