Sselph's graphical menu from the RetroPie-Setup options is fairly limited - it's the command line where it really comes into its own.
In essence, quit ES by pressing F4 (scraping whilst ES is running usually doesn't work very well). cd to the roms directory and then into your console of choice and then run the following:
/opt/retropie/supplementary/scraper/scraper -add_not_found -download_images -download_marquees -download_videos -console_src ss,gdb -console_img mix4,3b,b,s,f,l -image_dir=boxart -image_path=boxart -img_format png -video_dir=snap -video_path=snap -marquee_dir=wheel -marquee_path=wheel -marquee_format png -image_suffix="" -video_suffix="" -marquee_suffix="" -missing "games_missing.csv"
Please note, I've been separating out video snaps and marquees in prep for an Attract Mode build so you may want to adjust accordingly. To break the command down, it's scraping a mixed mode image from screenscraper and putting into a 'boxart' folder within the console's rom folder (-console_img mix4,3b,b,s,f,l means it looks for a mixed image first, then 3d box art, then boxart, then screenshot etc). It's then doing the same for video snaps and marquee images and all images will be output as png. I've also set it to output any missing titles into a csv for reference. If you didn't want videos, you could just remove the -download_videos flag.
If you are a Windows user you can run this directly on your roms folders via DOS if you download the DOS version of Sselph scraper.
Hope that helps.