By “boot menu”, I take it that you don't mean the BIOS device selection menu. Depending on the model of computer, you probably need to press a key to activate that menu.
E.g. on my HP Pavilion dv7, I must press the Esc key to select a boot device, else it proceeds to boot with the first available device as per my precedential list.
On some older computers, e.g. my Dell Inspiron 5100, there was no such menu. One needed to configure the precedences of boot devices from the BIOS setup interface if one wanted to boot from a different device.
In short, you probably aren't seeing the boot menu on your YUMI stick because you are continuing to boot from the first available device as per your BIOS device list.