You might have to set tabChildren=true or hasFocusableChildren=true on the SWFLoader.
I tried, but unfortunately, this doesn't help.
I also tried to implement IFocusManagerComponent interface by TextFields as told here http://forums.adobe.com/message/3127914
but It seems it's not enough.
I also found out that it's necessary to implement IFocusManager, but I can't find the example of the implementation.
Any help/advice is really appreciated.
Sorry, I missed that you are loading a Flash swf. If you are using flash.. components it may throw errors. If you are not, you may have make the SWFLoader an IFocusManagerComponent and cancel the keyFocusChange event. This configuration is not officially supported.
You can get an idea of how to try to do this by looking at how DataGrid handles keyFocusChange to move focus within the DataGrid.