It's probably because you don't have any input sets after the first one, so it just echoes what's left and then quits. If that's not it, then I don't see what's wrong with it.
sorry for bump, but i fixed it
the input was what i was missing
echo off
cls
:MENU
echo Hello.
set /p name=Enter your name.
set /p input=Are you sure? Y/N
if %input%==Y goto NAMEE
if %input%==N goto MENU
goto MENU
:NAMEE
cls
echo Hello %name%. How are you? fine/sad
set /p m=
if %m%==fine goto FINE
if %m%==sad goto SAD
:FINE
echo Very good then, how about we play a game? Y/N
set /p m=
if %m%==Y goto GAME
if %m%==N exit
:SAD
echo Why? Is it because your playing this?
echo Then let's play a game! Y/N
set /p m=
if %m%==Y goto GAME
if %m%==N exit