Yes, there's an easier way.
If you've loaded the file into iMovie, you must be wanting to edit it. If not, you're creating a lot of extra steps for yourself.
The reason the Export movie option in the Share menu is grayed out is because you have so far only created an Event (loaded the movie into iMovie), you haven't yet created a Project.
But anyway, unless you're planning to re-edit the file there's no reason to use iMovie for this at all.
If you want to create a DVD from an MP4 file, you can download one of at least two dozen shareware programs ranging in price from $10 on up. There used to be a free one called VideoHub that I still use, but it's no longer available. I'd suggest the $15
Permute as a good alternative. It can create a menu-less, chapter-less ISO file from the MP4 that you burn simply in Disk Utility. It converts all kinds of formats into all kinds of other formats without you needing a CS degree to understand what's going on.
Roxio's Toast ($79 or so) is another program that can do this, and can handle the entire process from conversion to burning. It features the possibility of creating menus and chapters and generally has a fair number of options.