This is a known issue, but on the same time not a bug. This is on purpose, which makes it very hard to fix. Indeed there are a lot of options which requires keeping focus. For instance every text/number input entries, you need to be able to use the keyboard. Even when alternative edit options are possible (like arrows for numbers), you still need to use the keyboard when you want accurate numbers, or because you want to increment/decrement with arrows, or because you want to scroll through values from a list (for instance testing fonts by scrolling the font list with keyboard arrows is much faster than using the mouse if you have many), and so on.
And finally there is the accessibility reason, which is the fact for some disabilities, it is a lot easier to navigate through widgets/options by keyboard.

There are so many reasons why various docks and dialogs need to be able to gain focus that nothing can really be done (at least not generically). We do it sometimes on case by case basics. For instance I recently (well… a year or 2 ago maybe) made the toolbox buttons unfocusable, since no entries there *really* require focus and there exists alternative keyboard-only ways to select any tool (shortcuts, action search, etc.).

AFAIK, this is also why the Esc shortcut exist which allows to give back focus to canvas from anywhere.

So unfortunately I don't really see any generic solution to your problem, and would propose to close as NOTABUG.

Now if you have more specific widgets which you believe could be non-focusable without losing neither edit capacities nor accessibility, like we did for the toolbox, then I suggest to open specific bug reports. A separate bug report for every widget ideally since this has to be done case by case.
But a generic "no other widgets other than the canvas should get focus" seems unfortunately impossible.

Thank you, Jehan.
OK, maybe I am too one-sided. I only pay attention to my own painting problems. 
Then use "NOTABUG" to close it.