That menu shows as if the YAML configuration files have not been merged into your shotgun configuration YAML files.
Could you confirm you followed the steps to add the tk-apps:
These yaml files provided should be merged with the original ones as they won't work on their own.
You should merge the contents of YAML file from:
into the ones from your shotgun environment configuration.
You can read more about shotgun environment configuration here:
Once that is done you should see the tk-apps apearing in the menus.
To start working within shotgun , you would normally go to Shotgun Icon -> File Open -> Choose your asset -> Choose your task -> click “New File”
This sets the context to the asset you have chosen. After that you can start a new project within substance painter.
You should be able to save your file with Shotgun Icon -> File Save
And you will be able to publish your substance painter session and textures, with Shotgun Icon -> Publish