Setting focus on a ListBox item breaks keyboard navigation

Don't set the focus to the ListBox... set the focus to the selected ListBoxItem. This will solve the "two keyboard strokes required" problem:

if (lbActions.SelectedItem != null)
    ((ListBoxItem)lbActions.SelectedItem).Focus();
else
    lbActions.Focus();

If your ListBox contains something else than ListBoxItems, you can use lbActions.ItemContainerGenerator.ContainerFromIndex(lbActions.SelectedIndex) to get the automatically generated ListBoxItem.

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If you want this to happen during window initialization, you need to put the code in the Loaded event rather than into the constructor. Example (XAML):

<Window ... Loaded="Window_Loaded">
    ...
</Window>

Code (based on the example in your question):

    private void Window_Loaded(object sender, RoutedEventArgs e)
    {
        lbActions.Focus();
        lbActions.SelectedIndex = 0;
        ((ListBoxItem)lbActions.SelectedItem).Focus();
    }