What version of Delphi are you using to create your ActiveX control? Are you also using the latest patches for Delphi?
I just tested the behaviors in my Report Engine and they don't exist under Windows XP and VFP 8 for both the Hot Tracking and the Style set to 'bsCheck'. I did not have my GRID button set to a style of Checked but have since changed it and it seems to be working fine. I can email you a copy of the OCX for you to test in your envioronment. The "Hot Tracking" is already there in the latest BETA release.
This could be a video driver issue.
The following problems arise only with the combination Windows XP and VFP 8.
They don't exist when using XP and VFP 7 or Win2000 and VFP 8.
If the Delphi-OCX uses a delphi-toolbarbutton with the Property (Delphi-Property!) 'Style' set to 'bscheck' (i.e. a 'graphical checkbox' in the toolbar), this button cannot be checked in the combination VFP 8 - Windows XP, if the ocx is embedded in VFP.
2nd problem: Using Hottracking in this Delphi OCX (the according VFP-Property would be "Specialeffect" set to "Hottracking"), the change in the colour that is caused through the hottracking is not removed after the mousepointer leaves the control (at least for Buttons).
Is there any solution for this behavior?