Sub Navigation Not Working

I’m a little confused… the Zippy theme talks about sub navigation within the guide and displays an example of it within the demo.

However, I think I must be missing something, because I have setup my menu and dragged a selection of menu options to be the child of a main option, at which point they are labelled as ‘sub item’ within the menu structure, and hit ‘save menu’. Unfortunately they all display as main options on the front end?? I really can’t see what I’m doing wrong here, it just doesn’t appear to work??!