There were several Menu Sets in PrE 9, that would not properly take the changed images.
Several users Opened the Menu Sets in PS, or PSE, and added their Images there. If I were doing that, I would Save the custom Menu Sets (along with PNG images for the Create Menus Library thumbnails) into a new folder, in the same area, say Entertainment. This would not overwrite the Library Menu Sets, even if some are not working properly.
There are several threads, from the fairly recent past, that go into a lot more detail on exactly which Menu Sets were problematic, and also discuss customizing Menu Sets in PS, or PSE.
It actually works ... i edited the menu set in Pse, took me five minutes, and the image is embedded right in the menu from the beginning. Thanx for the help, problem solved ! (and knowledge increased too !)
You are most welcome, and I am glad that the suggestion worked for you.
It IS a "workaround," but if one can get the Project complete, then that is the important part.
If I understand correctly, Adobe addressed the problems with some of the Menu Sets from PrE 9 (and maybe before), in PrE 10. I cannot state that ALL is "fixed" now, but it does seem to be better.
If you have gotten your Project finished with the workaround, you might want to mark the question as "Answered."