I've succeeded in creating a DVD that was supposed to have a menu, but only showed the background until play was hit. Then, pressing menu had no effect.
Also, navigating with the sections I can only get it to start from the beginning, but it won't go back into the blue menu screen.
So, I'm not configuring right and/or there is a bug.
But it would lead me to believe that you can make one that will just play.
I did find it ... under File / New - select "Single Movie" (Creates a disc that contains a single movie file. There are no menus on the disc.). I'm testing this now.