Thanks for the addition details, seems clear now.
These are more commonly known as TitlesThe four projects (not the first since it is using this as intro) become the chapters of the DVD. So far it all makes sense I guess.
Ok
Your third image showing the Background video is not what you need to use , that would replace the buff coloured background, it does not affect the Thumbnail showing on the Title Menu.
As you have found, returning to the first window where you added the project files, you can select any Title/thumbnail, play or reposition the cursor, right click the thumbnail for Change Thumbnail, that frame will now be used on the main Title Menu, effectively replacing the black frame
