Hi dsm-dude,
your screenshot shows me that you are not in an Edit session - therefor you can´t digitize a line. If you open an Edit session you will get this menu, please see attached screenshot menu_1.
I tried to reproduce your problem of not getting a menu while digitizing a line...I am using ArcGIS 10. I started to digitize a line, pushed CTRL+L and I could specify a length. Yes, you are right - as long as I didn´t close the Length field (see attached screenshot Length), a menu will not pop up.
If you still have the problem, I would suggest to contact your support.
I hope I could shed some light,
Anna
Anna Schwabedal
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Product Marketing
Esri Germany