It does seem counter-intuitive.
Using Windows Explorer the underline is not used at all; some menu choices offer a short cut, (quick key), and others do not. There is no risk of confusion. For example, to make a copy of something, open the Edit menu, highlight the item and you can then use either the direct menu option, Copy or the short cut Ctrl+C
Where the underline is used, in Firefox for example, if you open the File menu you could press V to invoke the print preview page with no further intervention. You could also, after marking some content on a page, open the Edit menu and press C, rather than the short-cut Ctrl+C, and the marked section is copied to the clipboard with no further intervention.
I fully understand that Alt+F would open the File menu, Alt+C would open the configuration menu and so on, but my confusion is based upon the use of the underlined key within a given menu.
For example, once the File Menu is open there are a number of options with a key letter underlined:
New, Tab, View File, ... Copy, Copy(Quick) and so on.
What is the purpose of using the underline convention within a menu if, in fact, no action is invoked. That is really the source of my confusion.