I believe I'm seeing this bug in virt-manager 1.0.1 on Jessie.
My VMs are running on localhost, and I see this issue on two separate Debian 8 systems - one is running a Jessie VM under the free Nouveau video driver, and one running Windows 7 under the proprietary Catalyst driver.
Hovering the mouse where the pop-up *should* appear produces the occasional flickering view of the menu, but fleetingly and inconsistently; additionally, the mouse cursor "splits" - the VM's mouse cursor stops moving and the host's cursor appears when (I'm guessing) the pop-up should appear. Hovering in the right place displays a tool tip "Leave Fullscreen", and clicking while that is visible does the right thing; so it looks like a drawing bug, more than anything else.
The problem appears to relate to using the "VNC" display server for accessing the VM - switching to using the "Spice" display server fixes the issue.
Regards, John Pearson -- *email:* j...@huiac.com "The greatest shortcoming of the human race is our inability to understand the exponential function." - Albert Allen Bartlett *web:* http://www.huiac.com/ *mob:* +61 407 391 169 *phone:* +61 8 7127 6275