Thanks to Mark M, who pointed me to this item at Autodesk's support site:
The SCREENMENU command was undefined by default in AutoCAD 2012 so that CIP data could be gathered indicating how many customers redefined the command and how many never noticed it was missing. The command is still supported, tested, and functional, but it must be manually redefined.
This means we should all redefine ScreenMenu -- as well as the other undefined commands, BlipMode, Trace, and DsViewer. Redefining ScreenMenu nevertheless leaves it missing from CUI.
Problem is that some/many users turn off CIP [customer involvement program, where Autodesk tracks your command usage], and so Autodesk would never know.