Click event delayed in ContextMenu attached to Not

I am working on a plugin (using System.ComponentModel.Composition) for an application to place an icon in the notification area of the Windows UI.

trayMenu.MenuItems.Clear();

// Create context menu items
foreach( IJob job in jobs ) {
  MenuItem menuItem = new MenuItem( job.Name ) {Tag = job};
  menuItem.Click += MenuItemClick;
  trayMenu.MenuItems.Add( menuItem );
}

private void MenuItemClick( object sender, EventArgs e ) {
  // ...
}

Now when I click on an item in the context menu of that icon, the Click handler is not being invoked.
Interestingly though, when I right-click the icon again (after having clicked a menu item) the Click handler for the previously clicked MenuItem is invoked. Left-clicking or hovering over the icon does not trigger this step.

What is going on?

Update: I have a strong feeling my problem is related to this question. But I'm still trying to figure out how I could apply that to my plugin/application.

To my understanding the problem is that no window messages are being processed for the NotifyIcon (or at least not as many messages as I liked/needed).

I solved the issue by inheriting from Form and running another message pump for my plugin.

using System;
using ...

namespace JobTracker.Tray {
  [Export( typeof( IJobTrackerPlugin ) )]
  public class TrayPlugin : Form, IJobTrackerPlugin {

    #region Plugin Interface
    [Import( typeof( IJobTracker ) )]
#pragma warning disable 649
      private IJobTracker _host;
#pragma warning restore 649
    private IJobTracker Host {
      get { return _host; }
    }

    public void Initialize() {
      trayMenu = new ContextMenu();
      trayMenu.MenuItems.Add( "Exit", OnExit );

      trayIcon = new NotifyIcon();
      trayIcon.Icon = new Icon( SystemIcons.Application, 32, 32 );

      trayIcon.ContextMenu = trayMenu;

      // Show the proxy form to pump messages
      Load += TrayPluginLoad;
      Thread t = new Thread(
        () => {
          ShowInTaskbar    = false;
          FormBorderStyle  = FormBorderStyle.None;
          trayIcon.Visible = true;
          ShowDialog();
        } );
      t.Start();
    }

    private void TrayPluginLoad( object sender, EventArgs e ) {
      // Hide the form
      Size = new Size( 0, 0 );
    }
    #endregion

    private NotifyIcon trayIcon;    
    private ContextMenu trayMenu;

    private void OnExit( object sender, EventArgs e ) {
      Application.Exit();
    }

    #region Implementation of IDisposable

    // ...

    private void DisposeObject( bool disposing ) {
      if( _disposed ) {
        return;
      }
      if( disposing ) {
        // Dispose managed resources.
        if( InvokeRequired ) {
          EndInvoke( BeginInvoke( new MethodInvoker( Close ) ) );
        } else {
          Close();
        }
        trayIcon.Dispose();
        trayMenu.Dispose();
      }
      // Dispose unmanaged resources.
      _disposed = true;
    }
    #endregion
  }
}

Seems to work great.