WP nav menus can only contain post IDs from the current site.
The reason is, each subsite has its own separate wp_posts table. When you add items by ID to a nav menu, you’re saving the ID itself to the menu, and WP dynamically calculates the correct permalink for that ID every time the menu is pulled up. (It also dynamically pulls the post Title unless you have overridden it in the menu settings.) Since you could have the same ID in every subsite, if you just save a post ID into the nav menu, there’s no way to tell WordPress, “Look for this ID on this other subsite.” WordPress is always going to just look for that ID in the current site’s post table.
However, you can switch blog IDs in PHP theme templates, so you may be able to find a different way to build your menu – one that doesn’t use native WP nav menus. The switch_to_blog() function switches to pull information from a specific (numbered by ID) subsite, so you could pull links from one site, then links from a second site (and so on if you have more sites) and display them all together in a header, for example.