The application menu of Empathy doesn't sit in the window that appears when you start the application (the contact list window). Instead, it lives by default in the top panel and can be accessed by clicking on the application name ("Empathy") in the top panel (which only appears if the application has the focus).

I didn't see the menu since I deactivated this part of the top panel through the TaskBar Gnome Shell extension. I did this because seeing the current program name seemed useless to me and because I wasn't aware that a useful menu would hide there.

Now I also found that the Gnome Tweak Tool allows me to decide whether the application menu is shown in the top bar or not. In the latter case it will be integrated in the main application window.

Thanks to all for answering!