Think of the music DVD as a movie with the music and still pictures only. If you play a regular DVD, when the movie finishes, you return to the menu; this program works the same way. Also, when you watch a movie from the start, the player will continue to the end. This works the same way unless you select just an album or track to play. Just like a movie, you cannot select random tracks (scenes) to play.without some input from you.
Are you using DVD Music Disc Assistant? Try using Music disc Creator and select music DVD. It gives you more choices for personalization including album, artist, icon, background (which can be changed for each piece of music) etc. I'm not sure why the name of the title was changed back.