Where did the menu widget appear before? It should be in the sidebar on the left, but are you sure of that?
Are you sure the theme allows you to add custom menus? There are certain themes that don't give you this option.
Have you checked if your scripts are running correctly? It gives me one error on inspect element.
Looking at the sidebar, you have divs for a header (logo and searchbox), facebook likebox, subscription to the blog, contributors, twitter, archives. Is this the place where the menu widget should pop up, and where exactly?
Are you sure you are creating the menu the correct way? Try to change the name of the widget, you may have a script with a variable with the same name ("x") somewhere. The information you provided isn't clearly enough to find the problem.
P.S. Just a piece of advice - you have waaay too many requests for loading the site - 231. You should limit them so the page loads quicker. It took me around 15 seconds to load the whole page. Try limiting the request by various tactics - for instance you can combine the CSS files in one file - I have 8 requests for different CSS files. Combining them will make a difference, try to do that.