Each layout can work differently depending on how it was made and not all layouts were designed to be a Display Menu. The Display Menu option is only about a year old and many layouts predate it. Any layout that was designed to be a Display Menu will store it's artwork in the /attract/menu-art/ folder.
The Orbit layout you're using isn't really designed to be used as Display Menu so it won't use the default /attract/menu-art/ folder. You can still use the Orbit layout as your Display Menu but the Orbit theme looks like you must define the folder you want to use for the background in the layout options. The folder name you enter will need to match the artwork name defined in your emulator configurations (i.e. flyer, marquee, snap, wheel, etc.).
If you need more help post one of your emulator.cfg files so we can see how you are storing your artwork.