Hey, dan.michel.716. I know a factory reset is not normally the first option someone would want to try if their menu was missing in your headset, and I get wanting to make sure that everything works as soon as you take it out of the box, especially as a Christmas gift.
One option you can try besides a factory reset is to just reboot your headset. You can do this by either holding the power button down for a few seconds until you see the Power Off screen and then select the Restart button. Or, you can hold the power button down for about 10 seconds, wait for about 30 seconds, then turn the headset back on to do a hard reboot.
If you still can't see the menu, then the next best option would be to do a factory reset. This would basically reimage the device and should remove any glitches in your headset. Or, you can send a PM to support so this can be looked into further.