The jump menu uses the OPTGROUP tag to group options. For a sighted user, the effect is similar to a nested list, e.g.:

• (OPTGROUP) Topic 1
  o (OPTION) Lesson 1: Getting Started
  o (OPTION) Video 1: Starting PowerPoint, Editing the Title Slide
• (OPTGROUP) Topic 2
  o ...

The OPTIONs are selectable (and selecting them may perform certain actions), but the OPTGROUP heading (e.g., "Topic 1") is not selectable; it is only a label. The problem is that JAWS does not read this label.
Why it matters

Long lists of options are more difficult for blind than sighted users, since each item must be memorized, and moving around the list must be done more intentionally. In this case, OPTGROUP tags may be providing Moodle authors with the illusion that they are adding more accessibility to the jump menu, when in fact they are not.
Possible solution

This is a difficult problem. The WCAG explicitly recommends OPTGROUP tags http://www.w3.org/TR/WCAG10-HTML-TECHS/#forms-grouping Their presence does no harm to blind users but neither do they help.