I have 5 mpg sections. When previewing or editing, how do you get the film to go on to the next item (Play All) without returning to the menu each time after each section has finished?
Movie Edit pro DVD menu system is not sophisticated enough to do this easily.
The workaround is to have 6 movies in your project - the 5 individual movies and the 6th being all 5 together in one movie (timeline) - see this tutorial for how to do this.
In the Burn section choose a DVD menu template that has all the movies on one page.
Do note the warning in the tutorial, multi movie projects can seriously slow down the computer.
I assume you are asking about DVD menu behaviour with MEP.
It is not clear what you have set up. Do you have a single movie with multiple chapters, or multiple movies?
If you have only a single movie, the movie should play right the way through, starting at the chapter you have selected (if you have chapters set up) and only return to the main menu when it gets to the end.
If you have multiple movies, you control what happens after each movie has finished by right-clicking on the movie button and choosing the action.