The keyboard cues can remain stuck. I've found at
least two ways:
Create an SDI app with a form view. Add some edit box
and a combo box. In the OnInitDialog fill the combo
box with items.
Go to an edit box. Press alt. release. The "file"
menu will be highilighted. Now click with the mouse
on the edit box. The keyboard cues remain.
Now make the key cues disappear. Open the ComboBox
and with the mouse go over an item and press
Alt+Letter (for example Alt-F) then the menu won't
open but the keyboard cues will remain "stuck"