That is how it meant to be drawn. The 3D effect is as if there was a light source shining from the top left. That's why the bottom and right edges are in a shadow cast by the raised panel.
Regarding your updated question, it sounds like you want your application to run without themes. The easiest way is to uncheck "Enable runtime themes" in the Application pane of the project settings.
But of course that would look odd nowadays. If you are using the panel to group related controls, perhaps a group box would be better. My instincts are that panels with raised borders will look poor on modern themed Windows.
TGroupBox
, and not theTPanel
?) – Andreas Rejbrand