Atahualpa 3.5.3:
If I create a menu item for which there is no page (so I can just hang a submenu off it) the item style is different to the rest of the menu items (I assume the style is not set) unless the mouse hovers on the item, in which case it picks up the correct style.
You can see the effect at http://thewebalyst.com/home/
On the "Library" menu there is an item "MenuTest (no link)"
Mark