Focus set incorrectly when opening dialog from menu

[VVKot]

Reproduction

x-posting this from #16190:

I am opening dialog with autoFocus = false from one of the options in MatMenu. When the menu closes, it sets focus on itself, away from a dialog. You can check the small demo here:
https://stackblitz.com/edit/angular-d3atgj
https://angular-d3atgj.stackblitz.io/

Expected Behavior

The focus stays on the dialog

Actual Behavior

The focus jumps to the menu trigger

Environment

• Angular: 8.0.0
• CDK/Material: 8.0.0
• Browser(s): Any
• Operating System (e.g. Windows, macOS, Ubuntu): Any

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