I think you are confusing video with chapters.
If I have followed your post correctly you have one video and that one video comprises of 8 chapters.
You now have a main menu with one thumbnail which will bring up the chapter menu, you also have a 'play all' button.
If you click the one single thumbnail you are presented with your chapter menu. Click any chapter thumbnail and you will start watching that video from that chapter point and play will continue until you reach the end of the video.
You get different results when you have two or more videos (not chapters).
Lets say you have two videos and you have created chapter points for both videos.
You now get a main menu with two thumbnails and a 'play all button.'
Click a thumbnail and it will bring up that videos chapter menu just as the one above did. Again you can select a chapter thum,bnail to start playing the video from that point onwards.
What happens when you reach the end of the video is determined by
Is this the first or the second video of your set.
If its the second video then you will go back to the menu.
If its the first video of your set then you either go back to the menu or start playing your second video, dependant upon what you selected on the
Project Settings Sheet
If your video started playing before you saw a DVD Menu then you have ticked the use first clip as introductory video.
Or you have selected the play all clips first before Menu on the project settings sheet (above)