Yes, while I don't use Excel, I would find it equally bizarre if, while (program x) had focus, some other application was intercepting the return key

In this case though, as I outlined earlier, the behavior I find unsettling is that *this* application had focus, but did not pick up the messages.
To put those two statements on equal footing, I imagine that
if you have Excel (or whatever)
as the foremost program, then any messages passed would
be through the focused application, such as mouse movements, entering objects, tab key presses, etc.
What I did
not expect was for those messages to disappear into the ether because despite having the focus, the cursor of all things wasn't within the borders of the application.
Obviously, if the cursor is outside of the application, and you click (down/up), *then* I might reasonably assume the actual click event would go somewhere else, but that isn't what we're talking about here, we're talking about simple mouse movement, which at some level Lc *is* keeping track of, so I think it should be reporting it with the one line as written above regardless of whether the cursor is within the borders of the application or not, and probably whether the application has focus or not, but in this case, I can see that going either way.
Hopefully I am not just being too obtuse.