<Alt>+<underlined_letter> does not work on Manage Cookies and site data. When you press <Alt> you take to main menu, instead. So why are the letters underlined?

The shortcuts <Alt>+<underlined_letter> does not work on "Manage Cookies and site data". When you press <Alt> menu pops up, instead. So why are the letters underlined? The main menu shouldn't pop up with Alt when you are on this king of "Setting" windows.