Is your site web-accessible, so that I can take a look?
I’m sure you’re on the latest WordPress version, but may I ask what other activated plugins you have, and what theme you’re using? Because if the Assist isn’t showing the same structure of menu items as the Custom Menu shows in Appearance > Menus, then there’s something getting in the way (I hope!)
In the Branch dropdown (under Primary Filter), do the options there also represent the same item structure as shown in the Assist (ie. all children under the last Parent)? Or does it show the child items under their correct parents (ie. as structured in Appearance > Menus)?
Sorry about all the questions, but I need some help to try and figure out why CMW is having these problems. It shouldn’t be this difficult!