Game menu:

The game menu is loaded across all scenes.
The menu in the game world has more options that are related to the player.
Never the less, it is the same menu, with more buttons enabled.

Client settings:

Settings like video and audio setting are stored in client's Settings.ini file.

Player specific settings:

Player related settings, like key bindings and chat settings, are stored in the server's character_options SQL table.
Settings are recieved by the server when the player enters the world scene.
Settings are sent to the server when the players changes a configuration and the menu is closed.