Like Windows 3.X used to have PIFs that made key combinations part of the DOS application and didn't pass control to Windows. I suspect that OS/2 also does this with DOS programs somehow via a configuration file. Maybe the default one got modified?
Thing is that ALT-ENTER is used for some DOS programs. I think that Frameworks or some other DOS program with menus would use ALT-ENTER for some menu systems.
Windows kind of borrowed the ALT-ENTER behavior from OS/2.
I am just guessing here, I haven't seriously used OS/2 since 1995, maybe 1996 tops.