Until this gets implemented here is a work-around. A small executable called 'sendfocus.exe'. It takes a class name or window name as an arguement and sets focus to that window.
If you are losing focus on xlobby after launching it you can create an event string that waits 'x' number of seconds then sets focus back to xlobby in the STARTUP event.
The startup event is executed when xlobby first fires up.
If sending a command to a third party app causes xlobby to lose focus then just follow that command with a 'sendfocus' to set focus back to xlobby.
You can download sendfocus here:
http://www.xlobby.com/files/badabing/files/sendfocus.zip
Here is an example of how to implement it under setup/events: