I suppose that as a bold attribute is being applied somewhere, and that as the menu items are static, then the source formatting can only be being applied to the ul, li or contained text, or to the div or element that is containing it.
So if it isn't being applied to the ul, li, or individually in-line to the text in the list, then you should check the styles applied to the containers that they are in (which also might be inheriting the style from the containers that they are in!)
When I find it hard to trace where a style is being applied, I sometimes resort to opening the linked stylesheets (in this case the menu.css file for the 'included' menu and whatever stylesheet is attached to your page) and do a 'find' for 'bold' (in the css), and <b> or <strong> in the page itself.
Probably not the pro way of doing things, but it usually pays off if I'm at a total loss!
And - as Eric says - it would be easiest to trace if you could upload the menu temporarily so that we could follow the clues from there.