The menu does indeed open, and the exit option is even present - it's just grayed out. The other options seem to work as normal - you can change the skin on the interface, view your inventory, bring up your character sheet, set the trigger gestures and command words for your spells, and so on just like you always could. The background music options are also still there. Turning them on gives you a quiet tune that follows you around. It quickly becomes apparent from others' reactions that they can hear your background music when they're nearby, and that's new.