A menu with rollover type buttons is in fact a stack of menus. On each of those menus all buttons except the one linked that is currently selected is set to “auto activate”. As soon as you navigate to one of those buttons with the arrow keys on the remote, it will automatically activate and send you to another menu with a different image for that button on it. This way the rollover effect is achieved.
But all software DVD players have the “auto activate” function disabled for direct mouse operation. This is why you have to click first to see the rollover state. The menu will work as intended when using the player’s virtual remote keypad.
The only real solution is not to use layered menus (which are a workaround for a DVD spec limitation).