It works like this: when a widget doesn't accept the focus it is propagated to its parent. This is how Qt works - nothing special for Qwt.
The default setting is that canvas and legend items ( depending on the mode ) accept the focus the other widgets don't. You could modify this - f.e. by setting Qt::NoFocus as focus policy for the canvas and then the plot widget will get FocusIn/Out events when you click on the canvas too, but this will break the zoomer, that handles key events on the canvas ( modifying them is probably what you really want to do ).
Instead do "plot->setFocusProxy( plot->canvas() );" when you also want to have the focus on the canvas, when you click on the scales.
Uwe
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