Depending on the Android version and the density of your virtual device, the Rotate screen feature may not be available. Also, make sure that the Rotate screen feature is not locked in the right-hand bar.
Rotation might also be locked in portrait or landscape mode by the current running application. In this case, it is not possible to change it via the Rotate screen button or via the rotation setangle command of Genymotion Shell for Genymotion Desktop.