As far as I can see, what you did should work (it's what I do and it works for me). Here is what I would try:
1) Check the war file to make sure the menu.jspf file is where I think it is.
2) Double check the spelling.
3) View the generated HTML source in my browser (sometimes the jsp text is included but nothing displays due to an error in the text)
4) Create a simpler file in the same (or other location) and try to include it.
5) Examine the generated java servlet in the server/default/work directory.