The left sub-menu shows up the left side of a page if you use the template that allows for sub-menus. It allows for easy navigation between parent and child pages.  To set up the left sub-menu, you must first change the page attributes of each page in the menu.

Page Attributes are only seen when creating and editing pages. They are used to assign the parent of page (the page above it in the hierarchy of the website, the template (what the page will look like) and the order of the page in the left navigation menu (usually ordered alphabetically, but can be any order you want). They are found on the right side of the visual content editor and directly underneath the Publish section when creating or editing a page.If a page has parent page, the child page will have the parent page’s URL in front of its own and users will be able to navigate to the child page by going through the parent’s page. Parent pages can also be child pages of other pages, allowing for the use of a multiple levels. 

A note about page order: Order displays top to bottom, lowest number to highest number. So an item with the default order of 0 will be at the top, and anything higher than 0 will be below it in the menu. Numbers do not need to be consecutive, so we recommend using numbers in 10’s. e.g. 0, 10, 20, 30, 40… etc. That way if you need to insert a page between two existing pages later you don’t need to edit the order number for every page. A menu with order numbers of 0, 2, 5, 12, 34, 56 will display the same as a menu with order numbers of 0, 1, 2, 3, 4, 5, 6. 

The template is a layout for the webpage. The only choices are Default, and Sub-menu on Left. Default is the standard full-width page and does not display the menu on the left side. Sub-menu on Left is for groups of pages arranged as parents and children, so that they can be navigated via the menu on the left as well as the main navigation bar. The order determines the order in which the pages are laid out on the left side sub-menu. More information about the left navigation menu can be found here.

You can also see all the parent pages and child pages, on the All Pages area of WordPress.

Note that each level of the hierarchy are denoted by the number of dashes next to the name of the page.

After the hierarchy is set up, the left sub-menu should appear correctly on pages that have template Sub-menu on Left selected. Notice how the left-sub menu only shows the direct children of a page and not the pages that are the child of a child page.