No need for a custom walker – it’s controlled with the depth parameter. At the moment, you’re only showing 2 levels of menus – but you need to set this to 3!
This, however, will only control what is being output. As for the user clicking, hovering or otherwise to actually see the menu, you’ll need to apply your own formatting (usually just CSS, although you could use JavaScript too) on the frontend in order to affect the display. WordPress doesn’t handle this for you by default as its up to the theme.