The Menu themes are missing when you try to add a movie menu to your project. The themes drop-down do not populate the list of menu themes.
To resolve this issue, download the DVD templates and extract them to the following location:
Windows: C:\ProgramData\Adobe\Premiere Elements\16.0\Online
Mac: /Library/Application Support/Adobe/Premiere Elements/16.0/Online
The list of menu themes now appears in the themes drop-down.