I tried using my regular program for conversion and making dvds, which is AVStoDVD. With a menu, it allows you to select each individual title and play it, but once finished with the first title, it goes straight back to the menu. Without a menu, you can play the videos in sequence, and you can skip forward by chapters within each title, but you cannot jump to the next title.
So that doesn't really help with your situation, as the individual titles won't be seen as chapters.
I haven't used ConvertX for a very long time, and then only as a trial. Are you able to set chapter points where you want them? Or are chapter points only put in by set time divisions?
If I had to do this, I'd probably join the videos together. If the videos are not all the same resolution, frame rate, and using the same video and audio codecs, then you might need to convert to dvd-video compliant mpeg2 first, then join them. At that point you bring them into your dvd-authoring program and set the chapter points for the beginning of each video.
This will give you one title in the dvd-video, with only chapter points to select each one. If your program can make a submenu for chapters, this would help when you need access to one specific video.
Joining mpeg2 one to another can be an issue. Its not the best for this and can lead to video/audio sync issues. Which is why I'd join before conversion if at all possible. Most music videos seem to be .flv format, and if this is true concerning yours, you could use Andy's FLV Joiner to combine them: http://www.videohelp.com/tools/Andys-FLV-Joiner
For joining mpeg2 together? Good question. AviDemux might be able to do this with the Append function, but I'd probably use VideoRedo since I own this program and it is much better at working with mpeg2. And I'd build the new dvd-video with specific chapter points for the individual videos in a pure authoring program. Mine is fairly expensive though. Called DVDLab Pro.
ConvertX may have all you need for authoring...I'm just not familiar with its capabilities.