First item gets the selection mark is at the first invocation of show() method (and there is no selection mark at the second invocation).

Sample to check:

import javafx.application.Application;
import javafx.event.EventHandler;
import javafx.geometry.Side;
import javafx.scene.Scene;
import javafx.scene.control.*;
import javafx.scene.input.MouseEvent;
import javafx.scene.layout.HBox;
import javafx.stage.Stage;

public class App extends Application {

    public static void main(String[] args) {
        launch(args);
    }

    @Override
    public void start(Stage stage) throws Exception {
        ContextMenu control = new ContextMenu();
        for (int i = 0; i < 3; i++) {
            control.getItems().add(new MenuItem("Item " + i));
        }
        
        Label menu_label = new Label("Menu");
        menu_label.setOnMouseReleased(new EventHandler<MouseEvent>() {
            public void handle(MouseEvent t) {
                if (control.isShowing()) {
                    control.hide();
                } else {
                    control.show(menu_label, Side.BOTTOM, 0, 0);
                }
            }
        });

        Scene scene = new Scene(new HBox(menu_label));
        stage.setScene(scene);
        stage.show();
    }
}