Hi,
That happens because you have set a link to your “Locations” menu item. and immediately you click on it the linked page is loaded and submenu disappears.
Try to remove the link from the parent menu item which contains a submenu (set the empty link).
Use a “Custom Link” and insert the “#” as Link URL.
https://prnt.sc/sh6rqp
https://prnt.sc/sh6s4i
Regards