Hi Mathieu,
I have been following the same tutorial to configure the central search.
In order to have the submenus,
1. You need to make sure that the object is defined here:
Customer Relationship Management -> UI Framework -> Technical Role Definition -> Define Central Search
You can have a look at the standard customising entries already present
(for ex. Nav bar profile : SRV-PRO , object type : BP_ACCOUNT)
2. Go to Customer Relationship Management -> UI Framework -> Business Roles -> Define Business Role
Select your Business Role, then click on 'Adjust Central Search Objects'.
The search object should be 'Active' here.
Hope my answer is helpful.
Regards,
Sonum