In line 744, of Agamemnon, the Chorus Leader (of the Agrive Elders) asks the Herald if he has any word on Menelaus. The Herald replies that he cannot lie in order to allow others to celebrate--he has disappeared. According to the Herald, a storm took Menelaus and his ship. The Herald states that only the sun knows if Menelaus is alive or not.
That said, the Herald does not seem to have given up hope that Menelaus is still alive. He tells the chorus to maintain hope in Menelaus' safety. He states that Zeus' plans are not to destroy the entire race--Menelaus may still return. Therefore, the Herald had no news of Menelaus because he has no clue what happened to him after the storm hit.