The footer menu of the X theme does not support dropdown menus. You will be able to use one level linear menus on the footer menu location.
If you want to have such a feature you will need to consider checking the Pro theme:
The Pro theme has footer and header builders:
If you use the Footer builder of the Pro theme you can use the Navigation Inline or Dropdown element to achieve the feature you are interested in.
To convert the X theme to Pro you will need to follow the steps below: