You probably knew it already, but you select menu items by searching for their names in the help menu. The default shortcut for focusing it is ⌘? (or ⇧⌘/), but it can be changed in the keyboard preference pane.
It's not really meant to be a primary way to select menu items in the same way as the Ubuntu HUD. Updating the results is pretty slow, the first result isn't selected automatically, and the effect of highlighting the menu item can be distracting.