Earlier quoted context omitted.
There's no menu on the window. It's a dialog box with no way to close it. [Edit] It's since made sense... but single-clicking on the menu at the top of the screen briefly shows something, but it doesn't stay open, so I didn't think it was associated with the dialog. It's a horrible UI in terms of discoverability.
On the original Mac, you had to hold the mouse button down while making a menu item selection. I am not sure why they didn’t do what Windows later did, and allow users to open the menu with a click, and select an item with a second click, but it might be as simple as that the thought hadn’t crossed their mind.
The logic behind that initial design was that menus were really just "buttons with options" and a mouseup should initiate an action. The menus had few items so there wasn't much dragging involved.
As software evolved, menus grew and spending an entire click on "present me with your selection of options" just became sensible.