Comment 1 for bug 1175127

As you can see from the discussion here:

https://lists.gnu.org/archive/html/grub-devel/2012-03/msg00050.html

this is currently by design. A submenu opens a new 'context' in grub terms, and when you exit the context (go back to the main menu), everything within the submenu context is lost. I personally do not like this, too.

If you really need this functionality, someone has posted a patch in the above thread. I don't know if it works, but you could give it a try.