I found it!

I had MACROS on the F keys. Once I did a CLEAR MACROS, the F keys appeared on the menu. So VFP has some smarts built in.

>>Hi
>>
>>I have a menu with my app. I have assigned hotkeys to certain menu options by going clicking on the Options button of the item which opens the Prompt Options window.
>>
>>Here in the KeyLabel field I press ALT+F5 and that is inserted as a hot key.
>>
>>And I can also assign F12 to another menu option.
>>
>>However on running the menu the ALT+F5 appears but NOT the F12 next to the menu.
>>
>>Is this correct? What's the use of assigning such a key when it is hidden?
>>
>>Is this a bug?
>
>I just tried this in VFP 8 and it showed the hot keys just fine. Here's the contents of the MPR. Compare it to yours to see where the difference is.
>

>DEFINE POPUP mainpad MARGIN RELATIVE SHADOW COLOR SCHEME 4
>DEFINE BAR 1 OF mainpad PROMPT "alt+F5 option" ;
>	KEY ALT+F5, "ALT+F5"
>DEFINE BAR 2 OF mainpad PROMPT "F12 option" ;
>	KEY F12, "F12"
>