There is a limitation in the current design. I even hit it with the popup panel overlay stuff. I wanted to have a mode where clicking outside of the popup would clear the popup but still pass the events through... but I couldn't. The overlay panel always consumes them.
Much of Lemur was designed and redesigned before these classes even hit public consumption. Unfortunately, the picking isn't one of them. The basic concept was good but it probably needed one more iteration instead of just hanging new features off it it. Unfortunately, those iterations wouldn't have done me any good without public input... so there really was no other path than the one we're on.
I have done a redesign where the lifecycle of the events, capture, and listener interaction is actually fully designed instead of add-on'ed to death. I don't remember if it's complete or not but I definitely wanted to beat on this one with my own various use-cases before blessing it as a final design. It will certainly break some folks who are doing stuff outside of the normal paths and relying on the current "broken" behavior... though there will always be work-arounds when the event life-cycle is better defined.
I think there may also be a bug that you will hit when you try your own work-arounds. But let's see.
Really, even in Lemur terms, the "proper" way to do this would be to add your own RawInputListener to InputManager and then catch the mouse button down event to start catching the mouse moves. You can check to see if the down event was consumed by Lemur to decide if the user clicked on something or not.
The down side is that Lemur will keep getting these events but since it didn't 'capture' on the down event, most things are ignoring the mouse motion events anyway.
Maybe someday as part of the Lemur picking redesign I will include a way to hook raw mouse/cursor listeners into that stack as well. To do some things similar yo what you want but a little beyond, it's actually required. As currently, Lemur generates its own mouse motion events instead of using JMEs (so there is no way to consume mouse motion and keep it from Lemur).
Fortunately, it sounds like your needs are the other way around.