Only one didn't go away completely. Keyboard traversal of the menus still has a very minor problem, but I can live with it. Say you have this menu structure:
FileAnd you press Alt-f to open the file menu, then down twice (to c) then right (to d) then left (back to c). After that LW ignores the up-arrow key, and the down-arrow key closes the menu.
a
b
c
d
e
f
Edit 4/11: I would imagine that this is a problem in Open Motif and not Lispworks. Just to be clear.