Hi! I'm not sure to understand what menu is the main concern here. We have multiple lacks of keyboard controls with some menus, and I'm pretty sure we don't implement a support for Escape in most of them.
While I'd like to eventually improve all of them, it'd be good to have a priority on which one is the critical one that prompted this fail in your accessibility testing session.

Could you provide a screenshot with an arrow highlighting the element at fault?

Thank you very much for this report! Don't hesitate to open more tickets with feedback about accessibility

PS: This might be related to the improvements made for https://jira.xwiki.org/browse/XWIKI-19725