A JMenuItem
doesn't support submenus, you need to use another JMenu
(add to you JPopupMenu
). See How to Use Menus for more details
For example...

JPopupMenu popupMenu = new JPopupMenu();
JMenu deviceMenu = new JMenu("Add Device");
deviceMenu.add(new JMenuItem("Add More..."));
popupMenu.add(deviceMenu);
popupMenu.add(new JMenuItem("Delete Device"));
popupMenu.add(new JMenuItem("Fire"));
popupMenu.add(new JMenuItem("Fault"));
popupMenu.add(new JMenuItem("Supress"));
(obviously, you'll still need to plugin functionality for all of this)
and TrayIcon only accepts PopupMenu which only accepts MenuItems.
There's a trick, you have to cheat a little, take a look at How do I get a PopupMenu to show up when I left-click on a TrayIcon in Java? for an example