In the US keyboard layout, but not with all layouts, alt-U is a dead key that is to be used before entering another key, e. g. a or e or u,

to obtain ä, ë or ü. That's why it blocks the recognition of the following keystroke as a menu shortcut.

More generally, it's unwise to use alt-key shortcuts under macOS because many such keystrokes are used to enter

printable characters that can't be entered with a simple keystroke. alt-o is an example for ø. macOS prefers

cmd-key or cmd-alt-key for shortcuts.