I have the same problem (I'm using Visual Studio 2010 SP1, and C#). I don't think we did anything wrong, it looks like a Winforms bug to me.

I fixed it like this:

1) I have unset (using the visual designer) the DropDown property of the main strip item.

2) I have defined the Opening event on the contextMenuStrip, and the DropDownOpening event on the main strip item like this:

private void toolStripMyMenuItem_DropDownOpening(object sender, EventArgs e)
{
    toolStripMyMenuItemMyLists.DropDown = contextMenuStrip;
}

private void contextMenuStrip_Opening(object sender, CancelEventArgs e)
{
    toolStripMyMenuItemMyLists.DropDown = contextMenuStrip;
}

And I don't have this problem anymore. Hope it will help you too :-)