The architecture of the game. How to separate menu from the game loop?

Hello.
My question relates to the professional developer who knows what, how and why.
I am familiar with the basics of C#. Including the PLO.
There are difficulties with understanding delegates and events, ie how it works.
Planning to write a game. No Unity, Win Forms or Monogame. Start simple.
And on simple the question!
There is a menu. Let's say, 3 points. To play, "Settings" and "Exit".
How to separate these 3 cycles? Main menu, settings menu and the game loop?
In Python, I would not bother, but in C# OOP model and I need to do it smart.
How? And most importantly, how?
Thanks in advance!