If you want to create a backup using Macrium you do it under Windows but if you wish to run a restore from a backup obviously you cannot overwrite Windows whilst running it. That is what the menu option is for - it will boot you into Macrium by running Windows PE (pre-installed environment)..  You can of course run Macrium to restore by booting from a recovery device such as a USB drive or optical drive but the Boot menu option is most conveniet.  Also, you will of course still need to create a boot device to run a restore option in the event of a complete hard drive failure.