The menu won't display on the record out because it would screw up the recordings. Zone 2's video switching is scaled back compared to and independent of the main video switching. I can see where it would be handy to have an OSD pop-up on the zone 2 (seeing what input you're on or what the volume is), but it was probably considered excessive to add cost to provide the capability for the menu OSD to be piped to the zone2 video - the intention of zone2 is to have a completely independent A/V output (potentially in a separate room), and adjusting the main menu from a second zone in another room was probably deemed unlikely.