Buggy indeed, I can't find an explanation anywhere but it seems related to the fact that the browser will render the dropdown popup even outside the browser window (try to make your browser really small and open your dropdown, it leaves the boundaries), making it not a typical document element.
One work around is to add a size on the dropdown
<select name="sel_id" id="sel_id" size=5>
<option value="0">Choose a new fixer...</option>
<optgroup label="Group A">
<option value="6366">Test User useruser</option>
</optgroup>
<optgroup label="Group B">
<option value="5831">First Guy</option>
<option value="1123">Second Guy</option>
<option value="7232">Second Second Guy</option>
</optgroup>
</select>
$(document).keypress(function(e){
console.log(String.fromCharCode(e.keyCode));
});
I am sure some DOM experts around can give some light on this one.