The panel should contain focus (itself or one of its children), then the auto-srcoll feature will work.
The problem which you have with GroupBox is clicking on it doesn't activate the control, same as Label or PictureBox or Panel itself.
As a simple workaround you can handle Click event of Panel or any other control which you want to make auto-scroll work and set it as ActiveControl of Form:
private void control_Click(object sender, EventArgs e)
{
this.ActiveControl = (Control)sender;
}
You can do it for the Panel to enable auto-scroll when you click on an empty area of the panel, or if you want clicking on your GroupBox or Label case auto-scroll work, you can do the same for them.