Extra features in menu

Besides pages and post you can also work with categories and links...

The example in the window makes it clear:

Unfolding links and categories, you can add those to your liking.

Notice the indent under category with post and page. Just hold and set to your liking

Not forget to save.

If it is your main menu, also flag primary menu and save

Simple, just build your menu untill it meets your needs...