If your VCL control specifies a palette by overriding GetPalette, Delphi automatically takes care of responding to palette messages from Windows. The method that handles the palette messages is PaletteChanged. 

The primary role of PaletteChanged is to determine whether to realize the control's palette in the foreground or the background. Windows handles this realization of palettes by making the topmost window have a foreground palette, with other windows resolved in background palettes. Delphi goes one step further, in that it also realizes palettes for controls within a window in tab order. The only time you might need to override this default behavior is if you want a control that is not first in tab order to have the foreground palette.