A 31-year-old man is being questioned on suspicion of murder.
Thirteen people were injured in a series of hit-and-runs in Ely and Leckwith in the west of Cardiff, which happened on Friday afternoon as children were walking home from school.
Seven of those hurt were aged under 12, including two of Ms Menzies' daughters, aged 23 months and eight.
Nine people remain in hospital, with two adults in intensive care.
Friends of Ms Menzies staged the informal tribute to her outside Ely fire station on Cowbridge Road West from 14:00 BST.
Some of those attending were in tears as a song, Tarrus Riley's She's Royal, was played and dedicated to her and her family.
It was followed by a minute's silence.
It was also announced that trust funds would be set up for the hit-and-run victims.
Meanwhile, Welsh Secretary David Jones, on a visit to police in Cardiff, said he wanted to pass on the thanks of the prime minister to emergency and health services as well as his sympathies to those affected by the events.
Mr Jones said: "The incidents that took place in Cardiff on Friday were tragic and unprecedented.
"They have shocked not only the local community, but the whole country."
The guy seemed to be targeting women with children. The woman who died was crossing the road with her two kids. She threw them to safety.The van's two-mile journey came to the police's attention at around 15:30 BST on Friday when there were reports of an incident at Crossways Road in Ely.
There were chaotic scenes around the city as it soon became clear many other people had been injured elsewhere.
A white van was stopped by police on the outskirts of the city
Police revealed on Saturday that people were also assaulted outside the van, possibly with a weapon.
And they want anyone who saw a black Renault Clio being driven on the wrong side of Western Avenue, near the Tesco Extra store, at around 15:25 BST on Friday to get in touch.
1) It's fucking tragedy, and one that happened just up the road from me
2) It's a pretty clear undermining of the 'public murder sprees are an American lack of gun control thing'.
At this moment, no motive or explanation is known.