This is deliberate behavior.
When a user overrides the menu styling with their own, it's no longer
possible to determine what the background color of menus will be - for
example, when you use the IE option to ignore page colors and use your
own, and when using the high contrast scheme in XP. Now actually IE6
for XP has a bug in its implementation of custom color overrides, and
styles backgrounds white, when they should be transparent; but this is
a bug and not predictable behavior.
The bottom line is that when user styles are in force, the menus may
come out transparent. And transparent menus are impossible to use. So
for the sake of overall accessibility, when user styles are detected
the submenus are disabled and only the main navbar is available.
The way to cater for this is to make sure that the navbar links go
somewhere useful where deeper sections are linked; but users should be
doing that anyway - if a site aims to meet 508 compliance then
everything which is accessible from submenus must also be accessible