When I view the page I can see the gap you are talking about in the level 1 and level 2 sub items. I did some testing and found that if I adjust the bottom margin for the level one li to -5px it seems to get it working correctly. Here is the css that was updated:
menu.css line 81
ul#cssmw ul.level-1 > li > a {
background-color:#DA5242;
background-image:none;
border-bottom:1px dotted #F4E1C9;
border-left:1px solid #F4E1C9;
border-right:1px solid #8B675A;
color:#FFFFFF;
display:block;
font-family:"Trebuchet MS",Helvetica,sans-serif;
font-size:10px;
font-style:normal;
font-weight:bold;
margin:0 0 -5px; /* this is the part that was added */
padding:5px;
text-align:left;
text-decoration:none;
text-transform:uppercase;
width:125px;
}