Hi,
Well, it depends on a browser.
I guess you use IE9 or IE8. Yes, confirmed, I can't see the buttons are focused.
But try with, for example, IE7 or FireFox, you will see they are focused.
You can override CSS for focused buttons.
Example
<%@ Page Language="C#" %>
<%@ Register Assembly="Ext.Net" Namespace="Ext.Net" TagPrefix="ext" %>
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN"
"http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head runat="server">
<title>Ext.NET Example</title>
<style type="text/css">
.x-btn-focus {
border: 1px solid red;
}
</style>
</head>
<body>
<form runat="server">
<ext:ResourceManager runat="server" />
<ext:TextField runat="server" TabIndex="1" />
<ext:TextField runat="server" TabIndex="2" />
<ext:TextField runat="server" TabIndex="3" />
<ext:Button runat="server" TabIndex="4" />
<ext:Button runat="server" TabIndex="5" />
</form>
</body>
</html>