Having trouble adding CSS class through menu to link

The problem is an incorrect implementation of a menu item custom class by Virtue theme. Two changes are required in themes/virtue/lib/nav.php file.
Replace line 30:

//$classes[] = $custom_class;

with:

$classes[] = $custom_class;

Replace line 45:

$icon  = ! empty( $custom_class) ? '<i class="'. $custom_class . '"></i>' : '';

with:

$icon  = '';

Note: to avoid your changes being overwritten by theme’s update, create a child theme, and make your changes in it.