I've been using NVE 3 for about two years and never had this happen.
But to test, I started a simple project with two movie clips.
First step, select Make a DVD
Second step, Add Movies
Once you've added all the movies to the menu, you can rename them by right mouse button clicking on each title and do a lot of other changes.
Then the third step is to start creating the main menu - Screen cap
This is where you can change the background, button styles, button animation, menu automation, add menu sound, Menu titles, enable chapters, etc. The only way I could get the symptom you described was to select 'Do Not Create A Menu'.
I suppose back in step two, you might have merged your movie titles, but that's not likely. To do this requires highlighting all clips and then clicking the merge titles button - Screen Cap
In this case the movies must play in sequence without returning to the menu.
Hope this short answer helps.