Ah, okay. The onClick has to be set on the div following the anchor element. That wasn't shown at all in the help/demo and wasn't obvious to me. Thanks for the tip.
Also, is there any way it can be set after the fact using javascript? I tried the following but it appeared to never hook any click events:
$('.easyui-menubutton').menubutton({
onClick:function(item){
alert(item.name);
}
});