You will only see menus if you choose the Share options of Disc or WebDVD.
Before burning to a disc, I always burn to a file first to check for errors. Is there a technical reason why the disc menus etc do not form part of the H.264 file?
Because that's not how menus work.
Menus and DVD files are a complex of .VOB, .BUP and .IFO files that interlink.
In PrE, the way to check the DVD is to Burn to Folder, rather than Burn to Dics. This will create the VIDEO_TS folder, with those IFO, BUP and VOB files, the necessary parts of a DVD.
With a DVD, the first VOB will have any Menus, and all navigation, plus the first part of the MPEG-2 media file. The rest of the VOB's will have the other segments of the MPEG-2 (in the VOB container), and will span the full Duration of the Timeline.
That VIDEO_TS folder can be viewed in a DVD software player, like CyberLink PowerDVD, MediaPlayer Classic HC, or similar, plus can also be burned to disc, with utilities, like the great, free ImgBurn.
If one does a plain Share/Export, then all they get is the AV file of the Timeline, without any Menus, or navigation - just an AV file, that can be played in any number of media players.