Yes that setting "Boot Menu (Esc)" is for occasional change of boot order
To save the boot setting fo all time, then as you have discovered, you will need to go into Bios setup, change the boot order, then Save and Exit.
Regarding the Master\Slave jumper, found only on ATA (or IDE) connected Harddrives
Since about 10yrs ago (probably more now!) all Drives should be jumpered as CS (Cable Select) Unless your Drive or Bios version is very old.