I haven't used the feature but the Help files indicate suggest menus can be imported from Files (eg PSD). menu elements are to be produced on specific layers using prescribed naming conventions. From the Help files:
“Adding a Sub Menu From a File. From the Insert menu, choose Submenu from File to create a new menu using a .psd file that contains background, button, and mask images in a single layered file.
“Creating Custom Menus and Buttons Using Layered PSD Graphics. For the ultimate in control over the appearance of your menus, you can create custom menus using your favorite graphics application and import the .psd file as a menu. To create a menu with background media, thumbnails, and masks in a layered .psd file, use the procedures described in this help topic. This topic assumes an understanding of how masks are used in DVD Architect software.”
If you don't get any better answers, I'll happily have a play with it over the weekend (probably will do that anyway now :-) )