Thank you for the sample. It was very helpful.
Please note that by design the TcxListBox component is just a wrapper (to support CX styles) for an inner TListBox control (which actually subclasses the Win32 ListBox control) which implements the editing functionality. The problem is peculiar to the TListBox control. To verify, replace the TcxListBox in your sample with its standard counterpart and use the same code. You will observe the exact same side-effects.
It seems to be better to post this bug report to CodeGear. If you do, please post the link to the QC report here.