Not dumb at all. Not all functions will work through Anynet+, although most of the common uses are there.
If you press STOP, that should return you to the menu. Have you tried using the TOOLS button on the remote to see if that gives you the option?
I have the above devices connected using an HDMI cable and have the Anynet function turned on. As far as I can see the TV remote controls everything on the Blu-Ray player I want it to do except getting back to the DVD content menu. To do this one function I have to pick up the Blu-Ray remote and press Disc Menu or Menu buttons (I can't remember which). I've checked all the documents (which are pretty thin on the Anynet functionality generally) and can't see where I'm going wrong. Surely Samsung haven't done this so I guess I'm being a bit dumb. Any ideas? Thanks.