The super button invokes the panel DBus proxy with the panel action being MENU. If an applet / widget sets supported_actions to be Budgie.PanelAction.MENU, then it can be invoked. This is the case with Budgie Menu.
BudgiePopovers, which are used by many applets including Budgie Menu, capture keyboard input when they are open, so actions like taking a screenshot using the keyboard shortcuts, or randomly switching keyboard layout with the menu open, aren't going to work. This isn't a bug.