Normally, whether the mnemonics initially appear under Windows OS depends on a Windows Display Properties setting (checkbox):
For XP: Control Panel -> Display Properties -> Appearance -> Effects... -> "Hide underlined letters for keyboard navigation until I press the Alt key".
For Windows Vista or Windows 7: Control Panel -> Ease of Access Center -> Make Keyboard easier to use -> "Underline keyboard shortcuts and access keys".

When mnemonics underline switched off than it should be underlined after pressing Alt key (as for JMenu), but for JLable underline doesn't appear after pressing Alt, for native window underline is appear
(see screenshots)

When mnemonics underline switched on all works as expected

same issue for jdk6; same issue for jdk7b120 (see INTJDK-7127646), it is not a regression