I specifically bought mine because it does let you change regions, and plays PAL flawlessly. I've already watched two different PAL DVD's on it, and there were absolutely NO problems.
I just burned a DVD with all 16 episodes of the first season of Malcolm In The Middle (logain xvid rips), and tried it. When I put it in, it started playing the first episode right away. I was disappointed there was no menu. Then, after reading this thread, I tried it again, and saw that you have to press the menu button on your DVD remote to access the menu. I wish I would've renamed my files before burning them now, but at least it works, and has a menu.
This is probably a stupid question, but is there a way to make a better menu somehow, like by creating it with some software, then adding those files to the files you are burning to the DVD, or is that something the manufacturer of the DVD player has to do via firmware?