One of the mnemonic keystrokes is ignored when sub-menu in a popup menu is visible

I have attached a sample test. Execute the sample test and try the following:

1. Press TAB and move the focus to one of the buttons.
2. Press SHIFT+F10 and bring up the popup menu.
3. Press 'ALT + F'. File menu contents will be opened.
4. Press 'ALT + O'. Open menu will be opened.
5. Press 'ALT + F' or 'ALT + G'.

Expected Result:
Pressing ALT + F should close the 'Open' menu and show only 'File' menu OR
Pressing ALT + G should open the 'Go' Menu.

Actual:
But none of these things happen and the keystroke is simply ignored the first time. If I press ALT+F or ALT+G again, I could the above expected results.

This is noticed on WinXP as well as SolSparc10 on Tiger-FCS as well as Mustang. The user has to press the mnemonic twice after opening a sub-menu.