No 'hotkeys' in menus and context menus

What I'm talking about is in Windows, when you display a menu like a program menu or context menu (right-click) each choice has a letter that is underscored, which when you hit that letter (or alt+letter) then you will select it. Why doesn't Mac have this? Or is there something I'm missing? In Mac, hitting the first letter of an option only goes to it, but still requires the need to hit Enter. Which is one step more than on Windows.