Referring to the comments of 0x01AA and Alan N and my own researches I found this as "work-around" to create an own customized Button which inherits Control or ButtonBase or Label :
Private fm_Click As Boolean = False
Protected Overrides Sub OnMouseDown(e As System.Windows.Forms.MouseEventArgs)
If Not fm_Click Then
RaiseEvent MouseClick(Me, e)
fm_Click = True
End If
MyBase.OnMouseDown(e)
End Sub
Protected Overrides Sub OnMouseUp(e As System.Windows.Forms.MouseEventArgs)
fm_Click = False
MyBase.OnMouseUp(e)
End Sub
Public Shadows Event MouseClick(ByVal sender As Object, e As System.Windows.Forms.MouseEventArgs)
As Alan N has written in his comment, I suppose that the detect "delay" comes from the detection time which is needed to detect if an incomming Click could also be a DoubleClick.
Thanks to all for the comments which guided me to the goal ...