I am using the Acquia Slate theme.
http://drupal.org/project/acquia_slate
I've setup my Secondary Menu to show up in "sidebar first" block. What I'm assuming is that when I select something from my Primary Menu (which I renamed) that the secondary menu would show up. This is not the case. I do have the secondary menu turned on and I'm on the latest Drupal 6 release.
Have a look. http://www.andyczerwonka.com. Under the Software Development menu at the top, I have a secondary menu. When I select that menu, the "sidebar first" block on the left is empty.