Advice on multiple module project

You appear to misunderstand how SCORM works.

When you publish a Captivate project as a SCORM one of the many files created in the publish folder is called imsmanifest.xml  This file tells the LMS everything it needs to know inorder to play and track interaction with that SCORM object.  Captivate only creates a single SCO (shareable content object).  If you have multiple modules in your course, which would appear to be the case since you mention a menu project, then what you are really trying to create is a Mulit-SCORM course.  However, rather than allowing your LMS to provide the menu of links that enable the user to launch each module, you're trying to do that with one of the modules in the course. 

As you have discovered, the issue you'll run into here is that the LMS only knows about one SCO, because that's the only one listed in the imsmanifest.xml file.  So it thinks that file IS the course and when the user completes that file it marks the course as complete.

You have two choices here:

1. Ditch your menu project and create your modules as separate SCOs which you join together using the Adobe Multi SCORM Packager tool that comes with Captivate 4, and then allow the LMS SCORM player to launch each of the modules (usually via links in a Table of Contents).
2. Learn how to hack the imsmanifest.xml file to specify your other course modules as assets belonging to the course so that your LMS still sees the menu project as 'the course'.  If you have quizzes or assessments in your course modules, this is not a good option to go with because your LMS will only allow one assessment per SCO, and as far as it's concerned, you only have one SCO.