Has this behaviour changed at some point? I'm nearly sure that XP didn't used to do this, but have no way of being sure or of proving it, short of installing an old version on a spare machine. The best theory I have heard so far was from a friend who suggested it might have been added by an update, to support touchscreens, where this sort of serial keyboard modifier might work better than a concurrent one. Or have we all just never even tried it for all these years because we just knew it wouldn't work, and were wrong?
I've used ALT to access menus since using EDIT way back in the DOS 6.22 days (ALT - enter - up arrow - enter - enter to save and quit I think it was). It has always been there. A lot of times I use that rather than the shortcut key simply because it is easier to remember than some of the more rare combinations.