[Enhancement] Improve escape consistency in menus

[Ownezx]

A few menus do not have the escape to go to the previous menu

• The server start menu (coming from the main menu)
• The client connect menu
• The extra settings menu in the server lobby

(Although the server lobby does not have an escape function, it would not make sense for it to work there as there would be a risk to accidentally leave or shutdown the server)