I'm running a recent (last couple of days) version of emacs 24 from bzr. I'll
update and try again.  Sems odd it will work for you but not me when we are
running similar versions, but a windows build v linux 64bit build.  I'll also
try with latest emacs 23 and see if I get the same issue. 

It would be good if someone else can try on Linux (especially 64bit) and it
would be interesting to know if it works with a build using the old X11 libs
rather than gtk, just to rule that out as the difference. 

If nobody can see a problem with the code I'm using, I'm suspecting it is either
a bug or an undocumented feature (i.e. cannot have menu acitons at the top
level, only sub-menus since the same code appears to work fine if it is in a
sub-menu).

I used this version for the test:
In GNU Emacs 24.0.50.1 (i386-mingw-nt5.1.2600)
 of 2011-02-14 on 3249CTO
Windowing system distributor `Microsoft Corp.', version 5.1.2600
configured using `configure --with-gcc (4.4) --no-opt --cflags
-Ic:/imagesupport/include'

Perhaps something was changed since then which breaks things?