Those would be more of a character UI, not a menu though.
When they said "no main menu" I'm thinking that they want you to go straight into the game with however you first chose when you first played the game. Without having to pick what character to play as. That's just how i perceived it. It will be interesting to see what they ment.
And for the record i want to be able to have multiple characters.
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Maybe instead of going to your first character it would just go to the last character you used?
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You would still have to pick eventually if you wanted to choose a different character, and doing that in game would take away from the game for me.