http://bugs.winehq.org/show_bug.cgi?id=20381
--- Comment #2 from Peter Zawadzki martinez.pr0team@gmail.com 2009-10-15 17:24:20 --- Hello, Nikolay. Thanks for interest.
You are right, you won't find them in documentation (exception is MN_GETHMENU). But they do exist and do work on all versions of MSWin I know.
These messages can be seen in use when needed some advanced things with menus. Example: http://www.codeproject.com/KB/menus/skinmenu.aspx (0x01e5 used).
The other thing is that it's also not even possible to subclass menu windows (WM_NCCREATE, WM_ERASEBKGND examples also won't work).