It's not very clear from your message if the menu disappears only after you open the key mappings menu, or when doing anything with that menu. Perhaps you have your preferences file corrupted, you can fix this by removing the following folder:
%APPDATA%\Virtuali
If you customized airplanes or airports, you'll lose everything doing this, so you might want to backup the folder first.
Then REINSTALL GSX, using the current Full installer.