Interesting bug, I just tried it and see the same thing. Nothing happens when clicking the system preferences menu item from the apple menu. It works when launching via the dock or Alfred though (possibly because then those apps take the focus).
This is what's shown in the system log when trying to use the menu item:
2012-06-27 08:02:23,702 Sublime Text 2: spawn_via_launchd() failed, errno=5 label=[0x0-0x4494490].com.apple.systempreferences path=/Applications/System Preferences.app/Contents/MacOS/System Preferences flags=0