Hi. I have the exact same problem with DDR Konamix (USA), DDR Best Hits (Jap) and DDR 1 (USA). I finally found a way into the options screen but it's weird as hell. On the PSX console, I couldn't get in, nor in any emulators when running off the CD. However I read in a post that running the CD image off hard disk in ePSXe does allow you to enter these sections which have the 'Now Loading' screen. I tried it and it worked. (like i said, running the CD in ePSXe gave the same problem).
Here's the thread where I read it:
http://www.fileforums.com/showthread.php?threadid=36272
Now, why is this?! I _really_ need to get into these elusive sections on my actual console, this is driving me nuts ;]
Anyone who can help, please do!