A Dialog is primarily for transitory and immediate responses. A Frame may last for a while.
A MenuBar contains menus.
Actually a Menu is a subclass of MenuItem. This allows you to make hierarchical menus by addinf menus to menus. However a MenuItem is generally thought of as a particular selection in a menu.
If you did this you would not have a convenient reference to the Menu, so it would be difficult if not impossible to add items to the menu.This isn't an issue for MenuItems since they generate events, but Menus don't generate events.