I ahve hte same issue. I have two websites – an old one at http://www.rjr.me, where the menu works fine. But at my new site, at http://www.ShakespeareTheNovels.co.uk, it is presented vertically and without any embedding of second-level items.
I have the same problem too. I installed WordPress 4.1.1 with 2015 theme. The menu shows all the sub-items, while I expect it to hide the submenus before the parent being selected. I manipulated all the settings, but no lock.