Man, I held down that button till the cows came home, and there was no sound, and I got no menu lockout.
Let me just make sure I'm not being stupid and doing this wrong.... I press the Player 2 Start Button for three seconds, right? And just to make sure, I went into the customize controls menu and made sure that I was pressing the right button for Player 2 Start. Player 2 Start also brings the menu up, so it just comes up and goes down repeatedly as long as I hold the button, so I'm sure I'm pressing the right button.
*shrug*