I fixed this problem.

I used 2 signal&slots. One for non checkable action and second for checkable. The second one have menu->show() in slot to keep menu on top.


Qt Code: 
  1. void QSpreadsheetHeaderView::mousePressEvent ( QMouseEvent * event )
  2. {
  3.     QHeaderView::mousePressEvent(event);
  4.  
  5.     logicalIndex = logicalIndexAt(event->pos());
  6.  
  7.     if (buttonMenuRect(logicalIndex).contains(event->pos())) {
  8.  
  9.         if(set_checkbox==false)
  10.         {
  11.             menu = new QMenu(this);
  12.  
  13.             sortAZ = menu->addAction("Sortuj A->Z");
  14.             sortZA = menu->addAction("Sortuj Z->A");
  15.             clear_sort = menu->addAction("Anuluj");
  16.             menu->addSeparator();
  17.             hideCol = menu->addAction("Ukryj kolumnÄ™");
  18.             clear_hideCol = menu->addAction("Odkryj wszystkie");
  19.  
  20.                    for(int i = 0; i <model()->columnCount(); i++)
  21.                    {
  22.                        actions[i] = new QAction(menu);
  23.                        actions[i] = menu->addAction(model()->headerData(i, Qt::Horizontal).toString());
  24.                        actions[i]->setCheckable(true);
  25.                        connect(actions[i],SIGNAL(triggered(bool)),this,SLOT(hide_selected_column(bool)));
  26.                        if(i<columns_min)actions[i]->setChecked(true);
  27.  
  28.                    }
  29.  
  30.             set_checkbox=true;
  31.             connect(menu, SIGNAL(triggered(QAction*)), this, SLOT(action(QAction*)));
  32.         }
  33.  
  34.         // Disable hide column if only one column remains. Otherwise
  35.         // the gui is no more available to show them back.
  36.         hideCol->setEnabled(hiddenSectionCount() < count() - 1);
  37.         if(hideCol->isEnabled()==false)
  38.         {
  39.             for(int i = 0; i <model()->columnCount(); i++)
  40.             {
  41.                 if(actions[i]->isChecked()==true)
  42.                 {
  43.                     previous_sender=actions[i];
  44.                     freeze=true;
  45.                     actions[i]->setEnabled(false);
  46.                     break;
  47.                 }
  48.             }
  49.         }
  50.  
  51.         menu->popup(mapToGlobal(event->pos()));
  52.     }
  53.  
  54.         // Catch previous arrow mouse click.
  55.     else if (prevRect(logicalIndex).contains(event->pos()) && set_checkbox==true)  {
  56.             showSection(logicalIndex - 1);
  57.             actions[logicalIndex - 1]->setChecked(true);
  58.             updateSection(logicalIndex - 2);
  59.             if(freeze==true)      { previous_sender->setEnabled(true); freeze=false;}
  60.         }
  61.  
  62.         // Catch next arrow mouse click.
  63.     else if (nextRect(logicalIndex).contains(event->pos()) && set_checkbox==true) {
  64.             showSection(logicalIndex + 1);
  65.             actions[logicalIndex + 1]->setChecked(true);
  66.             updateSection(logicalIndex + 2);
  67.             if(freeze==true)     { previous_sender->setEnabled(true); freeze=false; }
  68.         }
  69.  
  70.  
  71. }
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Slot for non checkable:

Qt Code: 
  1. void QSpreadsheetHeaderView::action(QAction *action) {
  2.  
  3.  
  4.     if (action == hideCol)
  5.     {
  6.         hideSection(logicalIndex);
  7.         actions[logicalIndex]->setChecked(false);
  8.         updateSection(logicalIndex-1);
  9.     }
  10.  
  11.     if (action == sortAZ)
  12.         model()->sort(logicalIndex, Qt::AscendingOrder);
  13.  
  14.     if (action == sortZA)
  15.         model()->sort(logicalIndex, Qt::DescendingOrder);
  16.  
  17.     if (action == clear_hideCol){
  18.         for(int i = 0; i <model()->columnCount(); i++)
  19.         {
  20.             showSection(i);
  21.             actions[i]->setChecked(true);
  22.             actions[i]->setEnabled(true);
  23.             if(freeze==true)      { previous_sender->setEnabled(true); freeze=false;}
  24.         }
  25.     }
  26.  
  27.     if (action == clear_sort){
  28.  
  29.     }
  30.  
  31. }
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and checkable:
Qt Code: 
  1. void QSpreadsheetHeaderView::hide_selected_column(bool checked)
  2. {
  3.     menu->show();
  4.     QAction * senderCHECK = qobject_cast<QAction *>(this->sender());
  5.  
  6.     for(int i=0;i<23;i++)
  7.             {
  8.                 if(senderCHECK==actions[i])
  9.                 {
  10.                     if(checked==false && freeze==false)
  11.                     {
  12.                         hideSection(i);
  13.                         actions[i]->setChecked(false);
  14.                     }
  15.  
  16.                     else if(checked==true && freeze==true)
  17.                     {
  18.                         hideCol->setEnabled(true);
  19.                         previous_sender->setEnabled(true);
  20.                         showSection(i);
  21.                         actions[i]->setChecked(true);
  22.                         freeze=false;
  23.  
  24.                     }
  25.  
  26.                     else if(checked==true)
  27.                     {
  28.                         showSection(i);
  29.                         actions[i]->setChecked(true);
  30.                     }
  31.                 }
  32.             }
  33.  
  34.     if(count()-hiddenSectionCount()==1)
  35.     {
  36.         freeze=true;
  37.         hideCol->setEnabled(false);
  38.         for(int i=0;i<23;i++)
  39.         {
  40.             if(actions[i]->isChecked()==true)
  41.             {
  42.                 previous_sender=actions[i];
  43.                 actions[i]->setEnabled(false);
  44.                 break;
  45.             }
  46.         }
  47.     }
  48. }
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