For everyone who is still looking for sub menus:
There is an override GetSubMenus() in the FAssetTypeActions_Base, that you can use for it.
If you want MyCustomCategory->SubMenuCategory you need to register your “MyCustomeCategory” with RegisterAdvancedAssetCategory and use this in the GetCategories() function.
And then add all you SubCategories in the GetSubMenus(), for example:
const TArray<FText>& FBodySetTypeAction::GetSubMenus() const
{
static const TArray<FText> SubMenus
{
INVTEXT("SubMenuCategory ")
};
return SubMenus;
}