I saw the video.
Only thing I noticed that could be a factor is that you were clicking on the option too much. Just one click and you should hear the click noise then wait.
If it still does not change menus , then I would send it back , yes.
That Server Settings menu is the one you want to try and open up, which does not need the internet connection to open.
i do not know if there is a way to load any older file on the Fuse, I have not looked into that.