I think you will find this has nothing to do with Sling, but is a 'feature' of the Virgin+ box. I think their logic is that the secondary output would normally used for some sort of recorder so there is no need to output menus. Yiou can test this by swapping outputs, I reckon you will find the menus appear on the Slingbox and not the TV.
The solution is not to use the secondary output, but to drive the Slingbox from the primary component output and then use the pass-through connectors to drive the TV.
Thanks for your helpful repsonse. I should have maybe put more specifics in my initial posting. I have connected the slingbox using a Scart to the output on the Virgin box and the TV remains connected to the Virgin Box by an HDMI cable. Should I perhaps experiment with disconnecting the HDMI cable to the TV when not at home (since I then have no use for the TV)? The Slingbox should then be recognised as the primary output?
Thanks again for your help