OK, this is what worked for me. 

In your CMapPointCtrl class add this public function: 

inline COleControlSite* GetCtrlSite() {return m_pCtrlSite;} 

Remember that when you re-init your activeX control this file will get written over. 


And then when you initiliaze the map do this: 

SetCapture(); 
// Open the MAP 
VARIANT var; 
var.vt = VT_INT; 
var.intVal = 1; //geoMapUSA 
CMap1 map = m_MapPoint.NewMap(var); 

// This fixes the problem 
m_pCtrlCont->OnUIDeactivate(m_MapPoint.GetCtrlSite()); 
m_pCtrlCont->OnUIActivate(NULL); 
SetFocus(); 

ReleaseCapture();