Thanks for all hints.
I created a subclass of TMenuItem and did an override of the AdvancedDrawItem method. In addition I set Enabled=False. Themes are not support, but I don't have that anyway in my application. But so far it looks fine:
procedure TMenuGroupItem.AdvancedDrawItem(ACanvas: TCanvas; ARect: TRect; State: TOwnerDrawState; TopLevel: Boolean);
begin
ACanvas.Brush.Color := TColors.Silver.Lighten(50);
ACanvas.FillRect(ARect);
ACanvas.Font.Color := TColors.SysWindowText;
ACanvas.TextRect(ARect, ARect.Left + 3, ARect.Top + 3, StripHotkey(Caption));
end;
Christian