I think the simple answer lies in WP’s design. Generally Pages go into a menu, not Posts. Posts are the “recent articles” and “news”, whereas the Pages are “permanent” stuff. This is over-generalizing, but illustrates the point.
That said, there are various WP functions to get Categories (and other things) to show up in a menu, as the theme developer has apparently done. You can look into editing the theme (possibly in header.php) and digging into WP function docs, but that may be more hacking than you’d like to do.
The easy thing would be to try using Pages for what you want in the menu, and see if that gives you what you need. On my own Homepage, I don’t use Posts at all, only Pages, whereas on my blogs I use Posts a whole lot, and accordingly, they don’t appear in the menu.
Oh, and I forget to mention that you can organize your pages so that you have “subpages” under a Page – if your theme developer has kindly coded for it (by no means certain!), you will get an instant dropdown menu doing this! When you edit a Page, you’ll see a setting for Parent, and this is where you do this. It’s awesome.
Good luck, Dave