In MyDVD, I click on the change menu style. On the left hand side, I get about 30 menu styles to choose from...

On the right hand side, there is a "main menus" and a "chapter menus" screen. When I find one I like and I click OK, all I can ever manipulate is the "main menus" screen. Where do I find the associated "chapter menus" does this automatically appear when I insert a video with identified chapters or is there something else I need to do?

Clicking on the "add sub-menu" button only gives me another screen that looks like the menu screen.

How do I get to the chapter menus ?

Correct... you have to add a video and then create Chapter marks. There is a check mark at the bottom that tells MyDVD to actually create the submenu. Should be checked by default. Once the submenu is created, you can change it.