Phew, I am glad I am not the only one with this issue!
Specs:
MSI X570-A Pro
Ryzen5 3600
Arctic Freezer II 240
16Gb 3000mhz DDR4
WD 1Tb M.2 SSD
EVGA 2060 Super SC
Running a 32" QHD (Main), a 27" QHD (side panel), plus a 5" 800x400 Pi Monitor inside my case with the AIDA64 SensorPanel on (with a nice background of my wedding pic, 50% Transparency seems better in reality than in the pic, sorry).
Same issue of Right Click on my Desktop and my Menu would vanish before I could click anything, same if I clicked on a Folder, Recycle Bin etc.
My set up with SensorPanel was:
Always on top,
Prevent from being Minimized,
Lock Position,
Lock Size,
Enable Context Menu.
Disabling the "Always on top" feature solved it immediately!
Re enable "Always on Top" - lose my Right Click again.
Disable "Always on Top" - solved again.
Definitely a correlation.