The boot menu doesn't appear (hold option button during boot)

I have Macbook Pro 13" 2015 (MF840).

The display is not showing the boot menu, but the boot menu works.
For example when I hold option button when macbook is booting - I see the black screen. But if I have for example ubuntu usb drive installed and press right arrow and enter - it is begin to download.

What is that?

I have attached the video with my problem for a cleaner understanding: Black screen on boot menu on Macbook Pro 13" 2015 (MF840) - YouTube

Thanks!