nicolaelvin!
This is your solution!
I had the same problem when trying to add the “archive” also known as “index” page to my menu. For example if your Custom Post Type is shoes and you want to put a link in your menu pointing to the page that contains all your shoes.
This is my solution.
1. Install this plugin “Relative Menu Item” by “Perch Ten Design”
2. In your Menu editor create a custom link with this as your link
URL: %ROOT%/example
Label: Example
Where the example is is where you place the name of your custom post type or the rewrite slug you made for it.
Hope this helped!