You have to do things a little differently to make it work this way. You now have your project set up so that each menu points to the same object. That object is your big media file, which contains chapter markers. Each menu simply points to a different entry point into that same media file. The file always plays to the end.

Since you want to only play just that one section, you instead have to point to a media file that contains that one section. Fortunately, you don't have to re-encode anything. Instead, simply copy the media file six times (if you have six scenes). Put these copies in the project list somewhere at the top, outside of your menu section. For each file, set the "out" point equal too the start of the next chapter. That will cause the media to stop playing at that point, and it will return to the last menu (or however you have the end point set). Even though you have duplicated the media six times, DVDA will only put it on the disc once, so you won't require any additional storage.

Now, if you want to have the last menu item highlighted when you return (or the next menu item highlighted), that is a little trickier, but it can be done.