sometimes they work, sometimes they don't. I noticed that. Right click on them always works though, or if you look down the menu each menu item has 1 letter underlined. Like:
Command Prompt (Admin)
If you press the key corresponding to the highlighted option, it opens that option for you. So Win+X, then press A, I would get windows prompting for admin permissions to open the admin command prompt - probably not the best example because of that actually. Or Win + X, then C, regular command prompt would open.