[data grid] GridActionsCellItem menu doesn't restore focus after escape

[romgrk]

Steps to reproduce

For GridActionsCellItem with showInMenu enabled:
Link to live example: https://mui.com/x/react-data-grid/accessibility/#density

Steps:

Go to the live example link.
Reach the DataGrid example.
Go to the last column.
Press/select the icon with the three dots.
Select any option in the menu or press esc.

Current behavior

Focus not restored

Expected behavior

Focus restored

Context

No response

Your environment

No response

Search keywords: keyboard shortcuts

[lauri865]

Focus is also lost when you trigger an action and it becomes disabled, e.g. in the bulk actions example (when you discard a row changes with keyboard):
https://mui.com/x/react-data-grid/recipes-editing/#bulk-editing

[Isaac1606]

Following our conversation of #10241 I finally got the time to actually provide a live example for the bug where the menu keeps floating around after pressing enter key if the item is an anchor tag. You can see it in https://codesandbox.io/s/quirky-morning-h362vd.
This is a forked sandbox so please ignore everything except the actions column, see it for yourself, navigation works fine, you press enter in the three dots, the menu appears, press enter in the link option and nothing happens, do the same with your mouse and works fine.