Owing to a bug in the compatibility of BuddyPress with WordPress, it would appear that the drop down menus (My Account v….Dashboard v….Notifications v) at the top of the page do not function if they go over the page header. I have tested this out, however, and it would appear that they work as they should if they are over any other part of the page.
In order to use these menus, therefore, you simply need to scroll down the page until the header fully disappears. The nested menu functions then work as it says on the box. Please let me know if this is not the case, as I have only tried this out in Firefox and Chromium browsers so far. Safari and Opera browsers might yield different results.