Then don't use ShowMessage() for that. It displays a modal TForm whose owner window (in Win32 API terms, not VCL terms) is the currently active TForm. An owned window is always on top of its owning window.
For what you describe, use a normal TForm instead of ShowMessage(). Set its PopupParent property to the monitoring TForm that needs attention, and then show the popup TForm. This way, the popup Tform stays on top of only its monitoring TForm, but other TForms can appear on top of the popup TForm.
Otherwise, change your UI to not use a popup TForm at all. Put a visible message inside the TForm that needs attention.