(Actually, my Case 1 below is wrong, see next post.)
I see, I guess it's just a built-in inconsistency in navigation that's a bit awkward. For example,
Case 1:
1. Press "<-" key to enter the global menu.
2. Enter Settings.
3. Enter Sound Settings.
4. Enter Volume.
Result: you cannot go back to Sound Settings menu other than pressing the Power key, since other keys are reserved for setting the values and moving focus. Playback doesn't stop when you press Power. "<-" button doesn't do anything from here (Power is the only way back).
Case 2:
1. Press "<-" key to enter the global menu.
2. Enter Settings.
3. Enter Sound Settings.
4. Enter Equalizer.
Result: there's another submenu in Equalizer. If you press Power here, you'll get to the previous menu level (Sound Settings) and the playback will stop. If you press "<-" key instead, you'll get to the global menu (navigation is lost). Playback continues.
In order to return to the previous menu level and for playback to continue you seem to need to press the Rewind button.
So, depending on the nature of the particular menu node, sometimes you need to press Power to return, sometimes Rewind. When Power is the only option to return one level up, playback continues. When both Power and Rewind can return you one level back, Power stops playback and Rewind doesn't. Without knowing the menu structure by heart (like in my case, I just started using Rockbox and didn't know just from menu node's name which node opens more sub-nodes and which one only contains changeable values) this navigation is confusing.
And once you learn the menu structure, you still need to press two different buttons to return depending on where you are in the menu if you don't want playback to stop.
If my understanding of how it works is correct, would it be the right time to ask if anything could be done to make this navigation less confusing?