Export menu configuration
Menu links can come from 3 sources:


Views module (these can be exported when the view config is exported)
.links.yml file in a module (not possible to export)
Created menu links (Is content entities, like nodes, users, etc and is not possible to export)


I'm guessing you are creating menu links via interface, which is content. The config system can't export content, which is by design. If you wanted to synchronize content, you would need to look at the Deploy module suite. I'm not sure how well this is working atm, since it's still in alpha.