No, you're misunderstanding. SS_NOTIFY does not cause your CStatic to receive messages, it causes the CStatic to relay messages back to the parent. So "Now I am able to receive message events through message map directly in MyStatic" is based on a false premise.
This is an important point to make because a control can only receive messages for itself, not for its children, unless those children 'play along' by relaying messages or by doing other tricks (global hooking, ...) ; but those cases are the exception, the 'normal' way is that each window receives messages for itself.
So that answers your question: no, there is no way to let both a parent (your CDialog) and a child (your CStatic) receive mouse events without doing so 'manually' or getting involved in tedious message routing hacks. So in your case, what you need to do is GetParent()->SendMessage(WM_LBUTTONDOWN, ...) etc, manually recreating the WPARAM and LPARAM values; or calling OnLButtonDown directly on the CDialog: GetParent()->OnLButtonDown(...). You'll have to think about what mouse coordinates you pass back to CDialog though, you may need to translate them to the CDialog's client coordinates.