Once your product categories are created, you need to add them to your menu.
Go to Appearance => Menus and select a menu to make changes to or create a new one. Check items from Product Categories tab, which should be added to your menu, in the left-hand sidebar.
If you don't see such a tab, click Screen Options at the top of the page and tick "Product Categories":

Now drag items to change their display order and move them to the right to make sub items. You can edit them by clicking the down arrow symbol.

Do not forget to save the menu.