Because of the limitations of Premiere Elements, you will not be able to set up a video that will both play through and stop at various places, depending on which button you press.
About the only way to make this work would be to include two copies of your slideshow on your DVD -- one of which is linked to the scene menu, with stop markers after each segment, and one of which is linked to the main menu, with the only stop marker at the end.
In a full-featured authoring program, this is simple to do. PrE is semi-automatic, and can only do certain, rather "middle of the road" navigation. As Steve points out, and as you have found, using the Stop Markers work for the Scene Selection, but ruin the Play All function.
Now, Adobe's Encore handles this with either Play Lists, or Chapter Play Lists, where one would have their main Timeline, where all Chapters would be in a Chapter Play List to get you the Play All, and then with Chapter Markers, one would link to their Scene Selection Sub-Menu and the End Actions on each Chapter would be to Return to Last Menu. Personally, I edit my "chapters" so that each is on a unique Timeline, and then use a Play List (similar to, but different from Chapter Play Lists) for my Play All. Unfortunately, it is no longer available as a stand-alone - one needs to buy the expensive PrPro.
However, I feel certain that Sony's DVD Architect can do similar. The mechanics might differ, but that little program (about US$40), has a great deal of power, and also flexibility to allow for full-authoring. PrE does things well, but lacks the ability to customize the navigation - you only get things one way, and most of it is done for you, semi-automatically.
If I wished to do any custom authoring, I would quickly invest in a full-featured authoring application. There is a bit more work to be done, but that pays dividends with much greater power and flexibility.
PS - Steve Grisetti has done several articles/tutorials on DVD Architect, which are on Muvipix. He has also written a book on that program.