Is there a shortcut to move to the item being highlighted by the search help? When I do Help | Search | whatever I see the blue left-arrow pointing to a menu item. I know that if I press Enter, it will execute it, but is there a shortcut that shifts the focus to the item that is pointed by the arrow, so that I could, for example, move to the menu item just above it?

The way I do it now, is I search, I memorize the submenu hierarchy, and I move there manually with the mouse, but I'm pretty sure I saw a shortcut to do this somewhere.
If you slowly move the mouse horizontally to the menu item that is highlighted, the menu will stay open.  

You are, most likely, having trouble with highlighting another choice on your way to the menu item of interest.  Don't let your mouse leave the highlighted row while traversing to the open menu and you should not have any problems.

This works this way on OS X 10.8.5.