I think I got it? After playing the fight slowly I think it's working. It just seemed weird that before I got the battle menu for the third fight it boots back to menu. Thanks for the tip.What's happening is that you're dying in the fight. The game doesn't have a fail screen, so it just boots you back to the menu. What you're supposed to do in the third segment is to use Penny's new ability "laser barrier" to survive the attack.