What is Customise Menu supposed to do?

I'll fix the help file thank you. Now try to click the topic at the left sidebar

About Customize menu. As I see from the your screenshot you have right clicked the toolbar to open the "Customize menu". Usually you should right click inside menu to customize menu (width, theme colors etc.). Also usually "Customize Menu" is used to overwrite the default menu settings from TLB Settings. For example, you can define maximum menu width in TLB Settings->Menu-Sizes, but define different maximum width for some of you menus in Customize menu.

Note the Customize menu depends of the place where you right-clicked. If this is the toolbar, you define settings for all menus (just add menu level). If you right-clicked inside any menu to open "Customize menu", the settings will be applied to this menu and submenus.

I can recommend this video to view how the Customize menu works. Video shows the changing the colors only, but this works for other settings too.