The grid in the symbols dialog is a unique control and JAWS is doing a lot
of work here to speak the symbols. When you use the arrow keys the mouse
pointer will be moving around over the grid. Pressing space does the left
mouse button click to select the symbol. If you don't press space, the
symbol which was last selected will be the one that gets added to the score.
This will actually be a blank symbol if you're using the dialog for the
first time.

BTW, all of these "special" controls have screen sensitive help so try
pressing Insert+F1. Also, there are custom tutor messages attached to these
controls as well, which will be spoken if you're using the right verbosity
settings.