From Xojo Documentation
If applicable, sets the focus to the DesktopUIControl. KeyDown events are directed to the control.
If the control cannot get the focus on the platform on which the application is running, SetFocus does nothing. The SetFocus method of the DesktopWindow class or the ClearFocus method can be used to remove the focus from the control that currently has the focus, leaving no control with the focus.
On the Mac you need Full Keyboard Access turned on in System Preferences (Keyboard->Shortcuts) in order to manually set focus to non-text controls.
The following example sets the focus to TextField1. If another control has the focus when this line is executed, then the user sees that TextField1 gets the focus.