I would love to see this implemented in Panda! 
My main qualm right now is the currently-open question of whether we’re sticking with DirectGUI, or, as per this thread, we decide to move to a third-party GUI toolkit.
That’s encouraging to read!
That sounds rather good, to me.
Is there a case in which someone might want to jump to a given tab-index? If so, then that might be better; if not, then my feeling is that “next” and “previous” items might be more intuitive–especially if we put together a “DirectGUI visual designer” at some point, in which case we could allow designers to simply “drag and drop” these connections. I imagine that tab-indices could become fiddly in such an environment.
(Although I might make the directions of the connections more explicit–I suggest having “up”, “down”, “left”, and “right” items.)
It would be lovely to have this be automatic, but I can see the potential for cases in which an automatic system misses an intended item (perhaps by not accounting for DirectLabels that have events attached via “bind”, or something similarly unusual), or creates a connection that isn’t particularly intuitive.
Perhaps it might be better to allow both: provide an automatic system that can produce a first-pass at making connections, but also allow a designer to hand-assign some of them.
I imagine that, when selected via keyboard or gamepad, a given control would simply show its “highlighted” state, yes?