Unfortunately, CMW has very little to do with the actual construction of the HTML used in the final output; it basically restructures the original list of menu items, and leaves HTML production to WordPress’s own code (there are a couple of minor exceptions, but not for the settings you have, and definitely not on a per-item basis). This means that the likelihood is that there is some other party (plugin or theme) hooking in and changing something…
a. Is there anything special about the menu item(s) that elicit this behaviour? Ie. are they anything besides a simple page or post?
The fact that the reported behaviour appears to be very selective – ie. it only happens when WordPress has determined that one particular menu item is the “current item” according to the page currently being visited – would seem to indicate that there might be something a little bit “different” about that particular menu item … hence the question.
b. Are there any other active plugins that might have any influence over menu output?
If there are, can they be temporarily deactivated to find out whether they are affecting the HTML output in these cases? There are plenty of hooks available to other plugins (including some provided by CMW itself) which enable them to modify the output of any menu.
c. If you switch to TwentyFourteen theme, does the problem still occur?
This would rule out your theme as being the culprit (assuming you aren’t already using TwentyFourteen!).
Without intending any offence, I’m going to assume that you used View Source to determine that the HTML was incorrect (as opposed to any sort of DOM inspector, like Firebug), so javascript can be ruled out?