Let’s not call it a ‘section’, because a section is an item in the menu af the top of the screen in Umbraco. I know, it’s semantics, but that threw me off at first when reading your question. 
I haven’t done it myself, but I think the default menu structure can only have one level:
sectionSidebarApp > menu > menu item(s).
I think you need a tree, like in the content section to get nested items. Once again, I haven’t don’t it myself, so I standard corrected if I’m wrong.