Well, both problems can be solved by using a JS action rather than combining the two.  Indeed, we don't support the "onclick" argument on the links inside a menu item—that's because the whole link gets replaced with some complicated DOM elements that make up the menu item.

Anyway, here's a possible solution to your problem:

<li>
<a href="javascript:goToSlowAddress('Mypage.asp')">Some Option</a>
</li>

and include this script somewhere in your JavaScript files:

function goToSlowAddress(url) {
  // here you can popup whatever you want:
  MM_popupMsg('test text');

  // and now redirect:
  window.location = url;
}

Hope this helps.