The message passes normally, it's the origin trigger that differs.
From the callout box at the bottom of the Dictionary entry for mouseStillDown:
Note: If there is no mouseStillDown handler in the target object's script, no mouseStillDown message is sent, even if there is a mouseStillDown handler in an object that's further along the message path.
That entry also notes: "Usually, it is easier and more efficient to use the mouseMove message to track the movement of the mouse while the mouse button is being held down."
This unusual requirement that the target control handle the message for it to be sent at all goes back as far as I can recall, at least '98 if not sooner. I'd also had a "gotcha" moment with this, and discussed it with Dr Raney at the time. He explained that there are a few cases (the idle message being another one, with a similar caveat in the Dictionary) where the amount of work the engine has to do to set up and move the message through the message path wasn't in his opinion worth the overall performance hit just to support a few relative edge cases for uncommon handling. He found that by limiting message triggers to only the most common use cases, everything else got a nice boost at the low cost of a caveat in the Dictionary for affected messages.