ComNivel.pas

procedure VarreItens(MenuItem: TMenuItem; List: TStringList; Nivel: Integer = 0);
var
  str: String;
  i: Integer;
begin
  str = '';
  i := 0;
  while i < Nivel do
  begin
    str = str + '  ';
    Inc(i);
  end;
  
  List.Add(str + MenuItem.Caption);
  i := 0;
  while i < Length(MenuItem.Items) do
  begin
    VarreItens(MenuItem.Items[i], List, Nivel + 1);
    Inc(i);
  end;
end;

VarreItens.pas

procedure VarreItens(MenuItem: TMenuItem; List: TStringList);
var
  i: Integer;
begin
  List.Add(MenuItem.Caption);
  i := 0;
  while i < Length(MenuItem.Items) do
  begin
    VarreItens(MenuItem.Items[i], List);
    Inc(i);
  end;
end;