GSX menu doesn't support undocked mode, the whole program is designed to keep the menu open only for the small amount of time you need to use it and choose an option, not to be pinned and stay on screen constantly.
Allowing this would require considerable changes, and will also have an effect on performances, because a pinned menu should also be constantly updated with entries appearing/disappearing and updating based on the current context so, it's a fairly major change to the whole program operation.