Lists of links used in the header, the footer, or anywhere else.
A menu does not choose its own place
Creating a menu does not put it on the site. A menu is known by its key — "header", say — and it is the theme or the region that decides where that key is displayed.
So when a menu you built is nowhere on the site, the problem is usually in the region rather than the menu.
Each site has its own menus
Menus belong to a site, and within a site each key exists once. Site A's header menu and site B's header menu are two separate things.
Links can nest
Any item can have children. Whether those children actually render as a drop-down depends on the theme — some show only one level.
Link addresses are not checked
Whatever you type as an address is used as-is. Delete a page or change its address and the menu link does not correct itself; it leads to a not-found page.