I'm restructuring my menus on my site but I've noticed that the menus highlighted are not shown through the rest of the website, only on the home page?
How can I have this throughout the site as people will get lost?
Anything in the forums will have the forum tab highlighted. The submenu you posted is for the forums tab. If you go to members, you'll get a different submenu more relevant for the members tab.
The submenus give relevant links related to the section of the site you're on. If you want something in every submenu you can exit the navigation templates to do that.
That's not the case in mobile view though is it? As far as I'm aware, there's no floating menu when at mobile res so having it in the second tier menu is very useful.