On Ubuntu I needed this two settings in settings.json :
"window.titleBarStyle": "custom",
"window.customMenuBarAltFocus": false
(VS Code restart might be required)
Related:
- https://github.com/microsoft/vscode/issues/84227
- https://code.visualstudio.com/updates/v1_36#_disable-alt-key-focus-of-the-custom-menu-bar