@nearbaskara In Opera 12.18, if one presses Esc to close a menu, focus returns automatically to the page, so yet, this is a bug. The menu bar is severely bugged in other ways, and is unusable without the mouse. For now, turn it off and learn to use the Button menu.
Instead of pressing Alt+F to open the File menu, press Alt, then F. Esc will close the menus and return focus to the page. If you press Alt again without opening a submenu, the menu will also close. It works much better, saves space, and needs only a slight adjustment in your habits.