Menus are usually meant for DVDs en Blu-ray disks, to allow the user to easily select parts of the presented video, since DVD/Blu-ray players may have limited options to get to the right point in a video; making use of menus and chapters, but also sound tracks, sub-titles, additional material, leaders and so on.
The software on PCs for showing videos from disk or USB(-stick), usually have the option to move the slide bar in order to a point in the video or play parts of a video etc. So in many cases, depending on the audience and usage it makes less sense to apply menus on disk and USB-stick.
If you want to apply a menu for your production that resides on disk, you also need software that is able to handle these menu (e.g. VLC, CL PowerDVD, etc.). To mimic playing a disk you commonly use (and need to produce) an ISO-file that contains the complete DVD or Blu-ray. PD can burn disks, and it is also possible to create/write an ISO-file to disk. (This ISO-file can also be burned to disk at a later moment, using separate burning software.)
So to answer your questions:
Because of the intended usage of menus, PD has only connected menus to the production of disks.
It is possible to use a menu without burning it to a disk, using the option to write to an ISO-file as mentioned. Using the resulting ISO-file with software that can (dis)play DVD and Blu-ray disks, enables you to use menus without burning and using a disk.
Hope that this helps.

Thank you so much for your reply!!