Your screenshots shows GSX is working perfectly.
Some reasons why the menu doesn't open on a gate:
- GSX is trying to tell you you made something wrong, like not having the parking brakes or not having turned off the engines, or your airplane being too big but, if you turned down the GSX Verbosity slider all the way down, you won't see any of such message. The same, if you disabled the "Info text" in the P3D settings. GSX should also make a sound in this case but, if for some reason you have sounds disabled, you might not hear it.
- Because of an AFCAD conflict, the gate position might be wrong, so GSX thinks you are not in the parking but, in this case, you should see the other menu, the one that comes when your are outside the parking spot.