|This needs some investigation.|
Discuss ideas and findings on the talk page.
Specifically: Find a way to access this in the US version. It certainly seems like it should be accessible...
Beat the game, and at the end screen, wait for the music to fade out, then hold I and press Run. A sound effect will confirm correct entry. Now reset the game (hold Run and press Select) and start the Normal Game. The above screen, consisting of a level select, sound test, lives toggle, and powerup toggle, will appear following the opening cutscenes.
This only appears to work in the Japanese version, despite the sound effect playing and the text being present in the US version.