We have a use case where we are using ContextMenu with the following configuration: showOn 'click' alignToAnchor true, Anchor being a button and on click of the button, context menu opens but the focus doesn't shift to it and remains still with the button.
The behavior you depicted is by design, Naresh. If you would like to move the focus to the context menu when the button is clicked, you will need to do that manually using javascript code for that purpose.