A couple of releases of wordpress back, this stopped working. Well, it worked fine, but it broke the style of the menu. See this link here.
Danny recommended putting in # as my option instead and that took care of it. However, with my last wordpress upgrade it appears that those items are now clickable again and it takes you to a 404 error page.
When you put the # in the custom menu it looks like it creates a link back to this:
http://www.adventurekayaking.org/<?php echo get_settings('home'); ?>#
So after much investigation and troubleshooting, it appears that this is being caused by custom permalinks.
When we switch back from custom permalinks to default it seems to work fine. We aren't doing anything too crazy here. Our custom permalinks being used are below.