Is menthol an especially volatile molecule?
The term "volatile oils" is a traditional term.  

From the 1916 book A TREATISE ON PHARMACY FOR STUDENTS AND PHARMACISTS 5th edition at page 217:


  Although the boiling points of volatile oils are considerably above that of water, the oils pass over rapidly with the vapor of boiling water, and in the leading establishments in this country [USA] and Europe volatile oils are now distilled by passing steam under pressure into stills which contain the material on a series of perforated trays... 


So it means volatile to the degree that it could be steam distilled.