We've investigated this now and found we only support single-level sub-menus when defined via the registry in this way.
Recursively nested menus defined via these registry methods are not supported and won't work in Opus.
You're right, Microsoft's documentation is terrible/wrong for the nested menus. I had to use debugging tools to work out what Explorer was even looking for. The docs for single-level menus are OK, although missing some information (you don't have to create CommandStore verbs at all; the commands can go directly below, and Opus support both ways of doing things in the single-level case).
Adding support for the nested menus would require a major refactoring of the code, which we are unlikely to do at this time. It's a Windows feature that is basically undocumented and (unsurprisingly) almost never used to our knowledge. Obviously if a popular piece of software starts using it then we'll have to invest the time to support it, but at the moment it does not look like a good use of our resources.
Opus has its own way to define sub-menus in the file type context menus, predating Explorer's registry methods. We suggest using that if you want to create custom nested menus, although it will obviously only work in Opus and not show up in Explorer. For custom menus defined in the registry, you'll need to stick to single-level sub-menus, at least for now.