1. Customized the Esc key for Close action.
2. Press Alt+F to open the File menu.
3. Press Esc to close the menu -> submenu closes, but the main menu bar itself remains active and has "File" item highlighted. This is normal, standard behaviour.
4. Press Esc again to move focus away from menu and back to EmEditor main window -> the EmEditor closes the document instead!

So, there is almost no way one can return from the menu to text editing using only keyboard. Actually, I found two variants, but both are inconvenient (the first is to execute some menu command — e.g. Open…, and then press Esc to close the dialog; the second is to use Alt for exiting main menu — but after I press Alt the menu still remains active, though the highlighting disappears, and I have to press Alt one more time).