https://bugs.winehq.org/show_bug.cgi?id=53731
--- Comment #4 from Hamish McIntyre-Bhatty winehq@regd.hamishmb.com --- Yeah, that would certainly confuse me. I'll update the wiki.
I know CMD has no menubar either - that's also suboptimal. They're replacing it with Windows Terminal now, though: https://www.phoronix.com/news/Windows-11-22H2-Terminal
That really should also have a menubar, though. It's probably more confusing for Linux and macOS users for the menubar not to be present - pretty much all the terminals for those platforms have menubars.