I've made some moving menus in DSP4 and they work fine on my mac and my home DVD player. When it's played on a windows machine the menus seem to stall for a second when activated, briefly superimposing the buttons of first menu over the video of the second. It also happens when returning to a menu from a video clip.
If it works fine on your mac and home dvd player, it is likely a problem with the software dvd player you are using in windows.
Also, not sure if this is causing the problem, but in DVDSP, select the menu, then in the inspector, under the General Tab, set the 'At End' action to 0 Seconds. This may or may not effect the problem you are having.