difference command line and menu?

Hi,

Normally I test regex in the command line and when it works I put them
in menu.vim.
I've never had problems. Command line and menu.vim are compatible I
thought.

but not this regex:

I created a regex to capitalize the first character of every line in
lists (lists starting with "-", "*", or numbers with "."

:'<,'>s/^\([-*]\|\d*\.\)\s*\l/\U&/gc<CR>

This regex does work in the command line
but doesn't work in menu.vim.
When I use it from my menu vim gives the message:
pattern not found. ^\([-*]\|\d*\.\)\s*\l/

What's wrong in this regex?
Are command line and menu.vim not compatible?

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