This striked me as quite a surprise. A Wx::MenuItem and also a Wx::Menu is not a subclass of Wx::Window. This means you can't query a menu's position, nor its size. Since that's not possible, I can't draw a box around a selected menu item to indicate (for a switch user) that it's selected.
Quite a disappointment, and I have no clue whatsoever how to solve it. I've dug in the wxWidgets sources, and it uses the platform-specific calls to create window menus, so there's no easy way to get around this.
I'm afraid I'm left with only two choices: either code my own menus and replace the wxWidget's menus (which is not an appealing option), or I'll drop the accessibility of menus (not attractive either).