For those who are looking for the answer - I found it out myself.
Actually it's quite easy. All you have to do is create a custom
designer that derives of ParentControlDesigner. This Designer has a
method EnableDesignMode that allows enabling the DesignMode for sibling
controls.

using System.Windows.Forms.Design;

[Designer(typeof(MyUserControlDesigner))]
public class MyUserControl : UserControl {
 [ ... ]

 public Panel Panel1 {
 }

 public Panel Panel2 {
 }

}

public class MyUserControlDesigner: ParentControlDesigner {
 public override void Initialize(System.ComponentModel.IComponent
component) {
   base.Initialize(component);
   MyUserControl uc = component as MyUserControl;
   EnableDesignMode(uc.Label1, uc.Label1.Name);
   EnableDesignMode(uc.Label2, uc.Label2.Name);
 }
}