[x_aguilarf]

debería de funcionar, yo le he probado y me funciona a la perfección. Algo debes de hacer mal.

Código Delphi [-]
unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, Menus;

type
  TForm1 = class(TForm)
  private
    { Private declarations }
  protected
    procedure WndProc(var Message: TMessage); override;
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.WndProc(var Message: TMessage);
begin
  inherited;
  case Message.Msg of

    WM_EXITMENULOOP: begin
      Self.Menu := nil;
    end;

    WM_ENTERMENULOOP: begin
      Self.Menu := MainMenu1;
    end;

  end;
end;

end.