If you look at the class browser or the component gallery they turn the ActiveX controls off when the split takes place. I believe this is because when VFP places an ActiveX control on a form it creates a true API Window with a HWND and this always takes the priority in the ZOrder on the form.

I saw an article by Doug Hennig in FoxTalk that used an OLE Drag and drop solution, this may solve the problem but dont quote me :-)