although I presume [the mac menubar] is focus sensitive
Yes, it is. If you look at the screen shot you will see the word ‘TextEdit’ in the left side of the MenuBar. That’s because TextEdit is the current foreground application. (Much like Windows, the Mac only allows one foreground window and, thus, one foreground application.) If you switch to a different app, the new foreground app’s menus will magically replace the old app’s menus. This prevents the system from wasting valuable screen real estate displaying the useless menus of background applications.
[S]ince they are no where the window I am working with, I don’t think of them being related.
That’s an adjustment you have to make moving between the systems. It’s like Windows having the close box on the ‘wrong’ end of the title bar. Or driving on the ‘wrong’ side of the road in England.
Second, I have no way of knowing if the menu applies to the dialog box I am working with or the application as a whole.
Menu Items, and entire menus, that don’t apply to the currently front-most window (or even the widget with current focus) are disabled: their name dims and disabled items aren’t highlighted when you mouse over them. For example, the Close, Save and Print items in the File menu in the screenshot. Thus, it is very simple to tell at a glance which menus and menu items apply to the current item/window/task/widget/etc.
Third, I cannot see the menu for the application I want work with unless it is already active. That means moving the cursor all the application, then all the way back to the menu. I cannot imagine doing this on a multi-screen system.
Fitts Law. It takes less time and effort to fling the mouse to the top of the screen and choose a Mac menu than it does to choose a Windows menu. The Windows menu has to be located in the X and Y axes, the Mac menu only has to be located in the X axis, because as Jeff said in the post, Mac menus are infinitely tall.
After some computing experience, a user learns to multi-task, and the Mac menus can be really frustrating.
It’s been my experience that most novice users become acquainted with keyboard equivalents (Alt-F4, Ctrl-W, etc.) long before they start trying to carry out more than one task at a time. But then I’ve never taught intro computer courses, so my results are likely biased or skewed.