Many thanks for the bug report! To solve the problem, please make the following change in the library source code (we'll add this fix into the source code too):
File BCGContextMenuManager.cpp
[246] while (::PeekMessage (&msg, NULL, 0, 0, PM_REMOVE))
[247] {
[248] if (!::IsWindow (hwndMenu)) // ADD THESE 4 lines
[249] {
[250] break;
[251] }