This has given me a lot of trouble too and I really wish it was a feature in RMXP/RMVX. If I get this right, you have a particular event that you don't want anything to be able to pass behind? Do you mean ANYTHING (tiles too?) or just other events?
As far as I know, the first is impossible without scripting (unless this could be the only event on the screen, therefore you can simply increase the priority of all the tiles).
The second is...somewhat possible but annoyingly difficult. First of all, if you do indeed mean events, then a solution would be to simply not allow other events to pass through it by making sure Through is OFF. If this does not work for your situation, then one way to do this would be to keep track of the hero's coordinates and the event's coordinates and to set the Hero to Always ON TOP whenever the hero is on or near the event. This won't be a perfect solution though.
And if you mean for other events in addition to the hero, then you have N^2 complexity in terms of variable conditions, something that is virtually not doable in RMXP events because of its interface.
So, basically, if none of that works for you. You should probably ask in Script Requests or something.