Sorry, I spoke too quickly. The Dock item is added by an ActionItem list that is internal to ControlDesigner - I completely missed that, I apologize. So what I said above doesn't hold.
This DockingActionList is only added however, if the Component has a DockingAttributeBehavior different than None. So what you can do is simply set that on your Panel. Doing so might also take care of the other issues with Docking you are coding around (i.e. don't want users to set Docking).
I am not a VB expert, so pardon if this is not the best VB code. 
Code Snippet
Public
Class MyPanelDesigner
Inherits ParentControlDesigner
Public Overrides Sub Initialize(ByVal component As IComponent)
MyBase.Initialize(component)
End Sub
Public Overrides ReadOnly Property SelectionRules() As SelectionRules
Get
Return System.Windows.Forms.Design.SelectionRules.Locked
End Get
End Property
Protected Overrides Sub PostFilterAttributes(ByVal attributes As System.Collections.IDictionary)
MyBase.PostFilterAttributes(attributes)
Dim newAttribute As New DockingAttribute(DockingBehavior.Never)
attributes.Item(GetType(DockingAttribute)) = newAttribute
End Sub
End Class