The theme uses Bootstrap as a framework, and Bootstrap only goes one level deep for drop down menus. There’s a note in the readme.txt file about it:
== NOTES ==
* If you have a drop down list for your site navigation, the parent item should only be a grouping title with a “#” value for the URL parameter. The Bootstrap navbar requires a click to open the drop down list so any link that is set in the parent item will not work.
* The navbar only allows for a depth of one drop down level.
* The four boxes on the home page are Icon & Text widgets added to the Home Page Top Area.
* The home page is designed without any sidebars therefore the only widgetized areas that appear are the Home Page Top Area and the Extended Footer. If you set a static front page you do have the option of displaying sidebars.
To create a custom menu go to the Menus admin page. There are instructions in my documentation section:
https://themes.bavotasan.com/documentation/setting-up-a-menu/