I think the answer to your issue lies in liberal use of the Print Screen key. Even though you are in Automatic recording mode, you are able to force Captivate to take additional screen captures.
Keep in mind that it's easier to capture more than you really need and weed out the bad slides than it is to try and insert something that may have been missed.
Helpful and Handy Links
Just to add to Rick's excellent post. The only way to capture sub menus in Adobe Captivate 4 using the Automatic Recording mode is to select the option in the sub menu. Essentially the Automatic Recording engine is waiting for a system event in this case a mouse click. Again, as Rick suggested you can get around this simply by pressing the Print Screen key on your keyboard.
Best - Mark
I personally find it easier to just capture the submenu and the different states of the submenu outside of captivate and save each of the states as separate images (so I can use them later as rollovers). Capturing submenus is a royal pain (at least for me) when using Cp3's recorder.