I'd write this one off to stupid user (moi) except that I saw it a lot when I was a usability tester. I wanted to change presentation colors in my email client. I was pretty sure I did that in Tools > Preferences. It is important to note that my opening assumption, I repeat, was that I would find it under Tools > Preferences. I clicked on Tools.
I couldn't find Preferences.
After some frustrated head scratching wondering where they would have put it, I saw it.
I would see the same phenomenon in usability tests with drop down menus where the top choice was preselected (reverse video). Humans process a list like this:
Top item set off typographically in some way = column title and is not a choice; therefore ignore.
The reversed video selection became invisible as users would scan the not-highlighted choices under it. Because Preferences is a single entry and is underlined, I think I processed it the same way.
These mental shortcuts usually make us more efficient--but sometimes they get in our way. As designers, try to avoid making the top choice different in any way.