I pulldown my Object menu, go down to the 'New' submenu and select 'Role'.
I do my job with the 'New Role' dialog.
Then I pulldown again my Object menu, do down the 'New' submenu: the 'Role'
item has been left selected.
With a bit of practice, it's possible to have all the submen items left
selected like on this snapshot:

http://www-icnc.france.sun.com/~elp/BuggySwingSubmenu.gif