So, I tested it and there is indeed an issue with the standalone mode. I can repdoruce the problem, but unfortunately I could not find a solution yet. It might be an issue with the engine, so I need to check with the Epic guys. In the meantime, however, I checked that packaged game does display the menu correctly, as well as the normal PIE. So the problem is only related to the standalone mode.
Can you make us of PIE and packaged builds for now?