Hi Matteo,
you should have received an e-mail, perhaps it was caught by a spam filter? (This topic should be in your "favorites"-list (check that at the top of the page, below the title), and you're normally notified when somebody posts into such a thread).
An SPView and the stage always have to share the same life-cycle. In the current architecture, this is unfortunately not intuitive to see. (I am currently thinking about changing the interface to make this more obvious, or to make it impossible to separate the two).
Your approach is basically correct: PenguFlip and Twins do it the same way (menu: Cocoa Touch, Game: Sparrow). The only difference is that in those games, the SPView and the Game are recreated every time the game starts (and released when it ends). The menu, on the other hand, is released when the game starts and recreated when it ends.
Those games, however, do not have that many textures, so that was not difficult to do. If you have got so many textures that it takes a while to prepare the game, I recommend you split the loading up in 2 parts: first create a loading screen (as the first frame of your game), then start loading the textures as soon as the loading screen is visible.
If it takes only a few moments to load the textures, you can also use a trick I used in PenguFlip: the menu blends to white when it disappears, and the game blends from white. That way, the transition seems perfectly natural, without any loading image.
I hope that helps!