The person asking was using PSP X5 so I reset X5 to the default by holding down the shift key as I double clicked the X5 desktop icon.
The X5 default layers context menu shows this:

In X3 I had the layers context menu like this:

In addition a sub context layer is present when we look at the New Mask Layer -

To start customising first Save your current workspace - File > Workspace > Save
then do View > Customise

In the Customise dialog box select Menu and under 'Select context menu' choose Layer Palette

The current Layer Context menu shows up in a new window. The Customise and Layer Palette context window can be dragged into new positions.

Any of the commands can be dragged over onto that Layer Palette context window and positioned where you want. Any of the commands already there can be dragged around to change their order or even removed by dragging out of the the Layer Palette context window.
This can be a slow process to drag commands separately amd make a sub menu, so for these complex menu items there is a faster way.

Click the Layers menu item on the Menu bar , and holding the control key down drag the New Mask Layer down and into a position in the Layer Palette context menu and release.
Here you can see the New Mask Layer and its sub menu have been placed in one action.

And after Closing the Customise Dialog box I can now see that the New Mask Layer context menu is working well

