I'm sorry, but I can only repeat and confirm it doesn't happen here, and nobody ever reported it before. At least, if I understood your report correctly, which seems the menu shows, but it doesn't select any option.
However, it's not clear if, after you press a number or click the mouse, is the menu goes away. It should, but then you should also see something or, of course, an error/sound message. Check if you haven't removed the information text. You don't say which simulator you use, so I can't say if you disabled ( it cannot be disabled in FSX, but it can in P3D )