I have an issue (again on one machine running 2008 x64 and not another running win7 x64) where once I've edited a menu collection, it uses the new collection until I restart mediamonkey and it goes back to the default. To replicate:
1. Launch Mediamonkey (launched in "close to tray" mode).
2. Double click icon in tray.
3. Expand "Music" menu.

4. Right click "Music" and go to "Options" & "Edit Collection".
5. Select just "Album & Album Artist" and "Album" from the collection.
All now looks fine with just 2 items in the Music collection.

6. Close Mediamonkey (right click and exit on toolbar).
7. Launch Mediamonkey.
8. Expand "Music" menu - all the defaults are back again.

Debug logs are available here.