The Panel control derives from ContainerControl. Which provides common behavior for controls that act as containers for other controls. Which includes not ever wanting to take the focus. If you try to give them the focus they'll immediately pass it off to a child control.
There's a good reason for that, the user needs to be able to see which control has the focus. So he knows where the keyboard strokes go. And container controls don't have a way to display that. Nor do they do anything reasonable with a keystroke. You can certainly doctor a Panel control to make it a focusable control, this answer shows how.
But focus a bit on why you want to make it difficult for the user. Maybe you are a bit to focused on the "blemish" of a focus rectangle? If you really want to hide it then you can, it is pretty simple to do. Just add a dummy button and give it a negative Location property and a TabIndex of 0. Which moves it off the window, no longer visible to the user. But still capable of taking the focus. Solves the "blemish" problem, but at a risk of seriously confusing the user.