想明白了问题是，当控件是readonly时，点击被发送到父容器，而不是控件本身。因此，甚至不可能覆盖控件自己的Mouse-Events来处理此问题。
因此，我现在添加了一个逻辑，每当NumericUpDown设置为readonly时，它就可以挂接到父OnClick-Event。
如果设置回Enabled，则需要再次删除处理程序。

private MouseEventHandler RightClickParentHandler;

...

//hook into the parent containers MouseClick-Listener to detect rightclicks that should appear
//on this (readonly) control. Remove Listener, if control becomes enabled again.
if (this.ReadOnly)
{
    if (this.RightClickParentHandler == null)
    {
        this.RightClickParentHandler = new MouseEventHandler((o, e) =>
        {
            NumericUpDown ctl = this.Parent.GetChildAtPoint(e.Location) as NumericUpDown;

            if (ctl == this)
            {
                if (this.ContextMenuStrip != null)
                {
                    this.ContextMenuStrip.Show(this.Parent, e.Location);
                }
            }
        });

        this.Parent.MouseClick += this.RightClickParentHandler;
    }
}
else
{
    if (this.RightClickParentHandler != null)
    {
        this.Parent.MouseClick -= this.RightClickParentHandler;
        this.RightClickParentHandler = null;
    }
}