When you have "mid" in the querystring, you're going to be using module isolation (i.e. that module control will show up in the edit skin's ContentPane and will be the only module on the page). When in module isolation, the action menu doesn't include settings. This is just a fact of DNN.
You have a couple of options. First, you could choose another navigation method (see Michael Washington's old (but still good) Module Navigation Options for your DotNetNuke® Module article).
Second, you could put your own link to the Settings on that control. You may be able to implement IActionable
and just add it back to the action menu (I'm not sure if that would work), or you can add some sort of button or navigation bar to your module (potentially on all of the controls for consistency).
Are you designing this module for the general DNN community, or for a client that isn't familiar with DNN? People with DNN experience won't expect to be able to get to the settings one they're "inside" a module.