Howdy, @russell3!
Thanks for writing in! The Primary Menu location you’re referencing from Appearance → Menus in the WordPress admin area is only in use if you are not using Pro’s header builder. For example, some people may wish to use Pro and build out a more advanced footer, but utilize our “classic” headers, which feature a more simple, straightforward set of options that are adjustable from the Theme Options section.
If you are using Pro’s header builder, whenever you add any sort of element that requires a navigation menu, you will assign that menu directly within the tool itself:
In this screenshot I’ve added a Navigation Inline element and selected it so that it is focused in the Inspector. Notice under the first option group labeled Menu that we have selected, in the initial Setup box there is a control labeled Assign Menu, which is what we will use here to select our desired menu. By default, any navigation you add or template you start from in Pro will have one of the “Sample” menus applied to it, which is there to simply give you a visual approximation of what your navigation might look like styled (or if you don’t have a menu setup yet but want to begin styling, you can use the “Sample” menus as a placeholder and then replace it later).
While you assign your menus within the builder, keep in mind that you still need to create and organize your menus under Appearance → Menus in the WordPress admin area. Once you have done that and saved out your menu, when you return to Pro, you will see any of your newly created and saved menus within the Assign Menu control.
If you haven’t yet had a chance to do so, definitely check out our Pro “Tips & Tricks” article, where we walk through all of the navigation Elements in a detailed video (you will also find the other videos here helpful as well in learning the tool):
https://theme.co/apex/forum/t/pro-tips-and-tricks/214
Additionally, our “Using Partials” article has many videos detailing how big chunks of the builder work, and it is highly recommended you watch those as well to really see how things all fit together:
https://theme.co/apex/forum/t/pro-using-partials/213
Hopefully this helps to point you in the right direction, cheers!