When Tux starts a conversation with an NPC, although one response is
highlighted, it does not have the window focus. So hitting Enter does not select
the highlighted option, and using the up or down arrows does not move the
highlight to a different response. The only way to select a response is to mouse
click on it.

Once a response has been clicked on using the mouse, after that the up and down
arrows work, and enter selects the currently highlighted response.

This worked correctly in 0.15.1.

What do you think of not highlighting any response while the window does not
have the focus ? That's how 'standard' GUI works, and would be more consistent
with our new 'GUI' engine...

That would be consistent, yes. But better still would be if the first response
automatically had the focus.