Long time ago, that bug was discovered because someone put code in the widgets to make it do that, Bad choice, most likely because Delphi does it to a point.
Then that code was removed and only the menu that actually got clicked on triggered the event, like it should. but then that got deemed as a bug and it was put back to the other bug, which you see now.
All I can say is, live with it. Test the Sender of the event for child menus and just ignore the event if that is the case.