It is possible with XFCE.
Can you describe how?
Open terminal and issue the command:
menulibre
Well... yes, but how do you use Alacarte (Main Menu) or MenuLibre to create Sub-Categories?
Click on the plus sign (+) on the left top to add directory.
That adds a Category directory... But is there an option to cascade that under an existing directory to make it a sub category?
If you select any of the category before clicking the plus sign, it will make a subcategory there.
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Got it; just successfully made one. I learned a new thing, today. 
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Wow, it sounds so unreal.
I knew something you did not know?
As you said somewhere collected brains are better than one 
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I am not so sure whether the OP @eyot is still with us, but I summarise how to create cascading/sub menu in XFCE desktop.
-
Open Menu Editor from the list of programmes or
from terminal (ctrl+ alt +T)
menulibre -
Select the directory where you would like to create a sub menu and click on the plus (+) sign in a tool bar.
@Aravisian do you think you can tick this question as solved if OP never comes back to this thread? I think it would help for the future visitors who have a same question.
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Nope.
I think I do not have a same privilege as you do.
This is what I see when clicking on the three dots under my post.
I made a mistake!
it should have been (ctrl + alt + T)
@zabadabadoo and @Aravisian
Can you edit the solution section if the original posting?
I do not want to misguide the beginners.
Sorry for the post & run guys
Shortly after posting this I received some family news that's knocked me sideways and I'm not really feeling it at the moment
Also I'd forgotten how good you guys were, I wasn't expecting replies this quickly
Would anyone mind if I put a pin in this & got back to it when I'm able to concentrate again ?
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You are always welcome here to ask questions.
I am sure all volunteers in this forum are more than happy to help you out 
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Maybe this can help you
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Sadly, that Classic Menu has been deprecated and is no longer available.
But you have the right idea- sometimes installing a different menu can solve problems.
On XFCE, I use Whiskermenu in addition to the Zorin Menu.
On Cinnamon on Zorin, I use Cinnamenu on one monitor and Stark Menu on the other.
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Hi all, I'm back, family issue is dealt with
So, thank you for all the replies & help
I'm running Zorin 15.3 Core version, the menu system is Gnome and not XFCE so it looks like cascading menus aren't going to be possible for me without a heroic effort that I really don't want to make
I think we can regard this as closed
sudo apt install xfce4
sudo apt install xfce4-whiskermenu-plugin
That is all that is required for the above... However, you may want to make other configurations once installed. So, that is an option - or it can be left as is.
If you like your post above can be marked as solution if you decide to leave it as it is.