The reason this is not obvious is that the Visual Studio designer doesn't allow you to add such items in a ToolStripDropDownButton as shown here:
So in order to add a ToolStripDropDownButton to the DropDownItems of another ToolStripDropDownButton you shoud first create the child button through the designer as a child of the ToolStrip itself, and then you should manually edit the designer generated code to move the button to the items of the parent ToolStripDropDownButton.
The idea is that ToolStripDropDownButton's DropDownItems is a ToolStripItemCollection, and therefore could contain anything, inheritted from ToolStripItem. It is the VS designer that limits the choice.
I don't say it is a good practice. Just the opposite - editing the designer generated code is a terrible way of doing things.
For me, however, it was a very fast and convinient way to re-organize a terribly crowded and unstructured ToolStrip in a nice and clean hierarchy.
