Menus like a CMS

by

3 ideas:

  1. Create the empty parent pages and use a redirect plugin to redirect all requests from these pages to the children.
  2. Inside the menu options page insert a custom link and link to the desired child page.
  3. At the top of your template – lets say page.php – test if children for this page exist and use wp_redirect() to skip this page and redirect to the children automatically.

The last one is probably the most sophisticated one. If you are having many sites it may pay of, otherwise just stick with the custom menu. Drawback is of course, that you are forced to use this scheme on all pages.
Creating a custom page template e.g. redirect.php and only applying the logic of 3. there would give you the option to use the children-redirect only on chosen pages.

Edit: based on kaisers input this is how a good redirect could look like:

function children_redirect() {
   global $wp_query;
   $child = get_children( array( 'post_parent' => $wp_query->post->ID, 'orderby' => 'menu_order', 'numberposts' => 1) )

    if( is_page_template( 'children-redirect.php' ) )
        wp_redirect( get_permalink( $child[0]->ID ) ); // redirect to first child page
}
add_action('template_redirect', 'children_redirect');

[untested!]