Unfortunately that is how MDI works. The main form's client area for the children is supposed to be empty. When you place components (like your panel, string grid etc.) there, that's no longer part of the client area, so the children won't show there. If your main form really needs some components, place them around its client area.
Since you want your MDI children to be able to cover your string grid, one possible workaround would be to put that string grid into its own MDI child window. You could even add code to keep the window with the string grid at the bottom-most Z-position among all the children, with a fixed size, to simulate it being part of the main form. However, I think it may be a better idea to consider stepping away from MDI entirely.