I'm getting this same message with a new install of v15 and my first time experimenting with a test site to see how the menus can be arranged and nested... haven't had much luck. I don't think it has anything to do with what version you have.
See this thread:
https://www.talkgraphics.com/showthr...767#post590767

From what I can tell so far, Xara doesn't recognize different levels, so even if you set up pages on levels below the main level, it shows all the links on the menus and you have to hand edit each one, or edit one, and then copy and paste it over the other ones on that level... hope that makes sense.