I’ve just tried on one of my sites & it didn’t work, but still diagnosing why. I’m trying to fix it in a child theme. This post suggests editing the core theme file which will be overwritten when you do an update.
One of the links that rdellconsulting gave you (this one) explains that it’s not a problem, but is designed that way.
If you change it (which can be done, but only with code), then you will make it impossible for a touch-screen user to open the dropdown menus because they will click through to the link rather then just dropdown.