I tried this and it doesn't seem to work. Once I tab in, I am unable to tab out unless I click escape, then tab, for each navigation item. I noticed that in the demo the tab index is 1, so I tried setting the tab index in my site to 1 and indeed the tabbing out does work when it's set that way. But of course I don't want the menu to be the first tab target. If I set the tab index to 0 or -1 the problem comes back - I can tab into the navigation but I cannot tab out. I was able to reproduce the issue on the Menu Overview demo on the demo site, where the tab index is set to 0.
It does seem to work, however, if I remove the tab index altogether using jQuery. Is it possible to turn off the tab index attribute on the control?