Don't know how to use Focus with Mouse

I need to use shortcut keys to adjust the Z-position of one of my character’s limbs, but I don’t know how to get the red bounding box. I went into Preference and turned “Focus on Mouse Enter” on, but I don’t know how to actually get it to focus on something.

Focus on Mouse enter focuses on the Window that the mouse is hovering over.
This is what this feature does.

If you wish to move something forward or back use the transform tool and use
Alt+up arrow and Alt+ down arrow which will move it a little in the Z-axis.