Hi!
You can find those advanced shortcodes by clicking on the ‘Toggle shortcodes for search’ panel:
Step 1: http://i.imgur.com/oGJ1fw2.png
Step 2: http://i.imgur.com/SSvtDfp.png
Yes, correctly placing it to menus can be a nightmare, as menus are just as different in each case as themes, and mostly made for only displaying simple text or some graphics. That’s the reason why this feature (shortcode as menu) was not implemented until now.