Administration features are implemented outside of the content management not as content plugins so they do have physical pages and are not listed in the main menu but in a separate administration menu.
The main menu(s) is driven by the content system only and the content system is not designed to plugin physical .aspx pages. It can be done using fully qualified urls but it doesn't blend in correctly so as to highlight the current page in the menu. I do not recommend creating stand alone pages and trying to use them in the content system.
A content feature can have physical .aspx pages. Most features have .aspx pages for editing, and more complex features like the blog and forums have multiple supporting .aspx pages because you can't fit the whole feature in a .ascx. However all features have their entry point as a .ascx that can plug into the content system. From the .ascx it can link to its own supporting pages as needed passing the pageid and moduleid (and any other needed params) in the url keeps the menu highlighted correctly and those params can also be used to enforce security in the custom code for the feature. So for example the .ascx for the forums is just a list of forums and it links to .aspx pages to view threads and make new posts.
Hope it helps,