In the end, I'd rate both (Windows nad macOS) as equally painful/unintuitive to use without a mouse.
I can still see the underlined letters. Are you on Windows 10?
For max fun though, hold down opt/alt while you have a menu displayed and watch the options change.
The majority of Windows applications I've used also follow that (using Ctrl instead), because the unmodified keys will do something else (like inserting the pressed letter, in a word processor/text editor); the difference with Finder/Explorer is that browsing through the filesystem is the primary purpose, and arrows/Enter/Backspace to move selection/select/go back are far more convenient and easy to use than arrows/Cmd+O/Cmd+[.
I wonder if there is almost some sort of vi/emacs divide here.
Some of the Finder keyboard shortcuts seem very counterintuitive; for example, the arrow keys move the selected item (same as in Windows), but although opening the selected item(s) is a very common task and one would expect that to be mapped to a very common key like Space or Enter like all the other file managers I've used, I believe one of those initiates a rename (a relatively uncommon operation) and the other does nothing, and the actual shortcut to open the selected item is Command+DownArrow or Command+O. I guess they make sense in their own way, but apparently I'm not the only one who finds this very unusual and confusing:
https://apple.stackexchange.com/questions/6727/why-does-the-...
https://superuser.com/questions/59007/enter-to-open-a-file-i...
https://superuser.com/questions/176450/open-file-shortcut-fo...
https://superuser.com/questions/134892/how-to-open-folder-wi...
https://superuser.com/questions/119871/how-do-you-open-a-fol...