It's not necessarily Windows throwing away keypress events but the order of events system wide not necessarily staying in the expected order or the target for an event not being active at the right time.
If you activate the start menu with a keypress it's going to grab focus. Before it grabs focus the previous window in focus will get events. The same applies with panels (drawers? I forget Windows' name for them) in the Start Menu. There's a non-zero time between activation and grabbing focus to receive keypress events.
Everything from animation delays to stupid enumeration bugs can affect a windows not grabbing focus to receive keypress events. Scripting a UI always has challenges with timing like this.
A mainframe terminal has a single input context. You can fire off a bunch of events quickly because there's no real opportunity for another process (on that terminal) to grab focus and receive those events.
Note the above doesn't absolve Windows of any stupid performance/UX problems with bad animation timings and general shittiness. Microsoft has been focusing on delivering ads and returning telemetry with Windows instead of fixing UX and performance issues.