Thanks for the report. We were able to duplicate the issue. It took a while, but I was finally able to track down what is causing the behavior. The problem is in the TListViewStyleHook class that Embarcadero created for handling the behavior changes needed for the ListView when VCL Styles are applied to an application.
The specific problem is that in the TListViewStyleHook.WMMouseMove method, there is the following check:
if Control is TListView then
Well, this will only work if Control is indeed a direct descendant of the TListView class. The problem is that the TRzListView, TRzShellList, and even the TShellListView all descendant from TCustomListView and not TListView. As a result, the necessary code to manage the thumb tracking is not getting called.
To me, this is a bug in the VCL class and as such we are reporting the issue to Embarcadero. I'll also look into providing a workaround for this issue.