Which UI events propagate?

I've been reading over the Event docs and even after an hour I can't answer for myself this simple question. I'm trying to understand why I can't make a "menu screen" with, say, a panel background and add the ICancelHandler interface to that Panel (where I might, for example, Destroy the screen).

I would expect an event like an OnCancel keypress to propagate up to the containing Panel (or even just upwards until a script handled it), but instead I can only get it to work by putting the script on every single menu item. If I only put it on the Panel it fails to fire the event.

It's not a huge deal, but it will impact performance on larger lists of items, and frankly I'd just like to understand the Event System a little better.

Thanks!