If the only reason you are subclassing TGroupBox is to create a new style for it and in particular to not show the frame, then why not just set the ShowFrame property to false instead?

If you have other functionality in your subclassed GroupBox or if I have misunderstood your question, then I would tag Delphi as well because you will engage a much larger base of users for something that is more VCL specific than C++ specific.

(I wish I could have just left a comment but because the way SO works is that I have to generate enough points to do that and one way is by submitting answers. It seems odd to me that it is more difficult to comment than to provide an answer.)