Threw lots of code around and tried other stuff to get around the "SetFocus" bug... didn't work though, so I ended up with an usable player (self) menu. Well if you don't count "Set Focus"...
Known caveats
SetFocus will most likely not work.
There is no way around for now, it's a taint issue that's documented by Blizz.
Could be a bit memory expensive ATM.
I recommend using clique or similar stuff if you need to set the focus, that's more useful anyway...