Eddie and I have the same setup, and yes, I can see theMenus just like him ... Here's what's happening.
When you push the "MENU" button on the receiver, the receiver checks to see what video signal it's currently outputting. If that video signal is greater than 480i, it switches off the video signal (the screen goes all screwy for a seceond) and then pipes the setup menu video (which is natively 480i) to the monitor out. If however the video feed you're watching is already in 480i (standard DVD for example), the receiver neatly overlays the setup menus in a slightly transparent overlay ontop of your currently playing video source. There's also no "Video Hiccup" as the receiver switches from HiDef to Standard Def.
This was never really a problem for me ... I didn't really care that the SETUP MENUS weren't overlaying the existing video.
What was bugging me, is that OTHER onscreen information such as Volume bars/level, current DSP selection, speaker output levels ... all things you might like to adjust as you were watching TV, don't overlay on a high definition video source. It just can't be done. The only feedback you get is on the front display of the receiver (which in my case is on the other side of the room and is too small for me to read from my viewing position).
For the record though, I think I've come to terms with it ... I had some time over the weekend to play with the reciever, and have been enjoying it ... though I'm dissapointed that it functionally doesn't work the way I'd like it to (and IMHO, the way it was advertised it would work), I think I can get beyond it and get on to enjoying it more. It's a minor inconvenience for some major plusses.