How to create menu item with panels?
It may or may not be important to understand, but Panels does not handle menues at all, it only deals with the layouts their UI. Page manager, a part of Ctools, however does handle menues, which is probably what you are using.

To figure out where the issue is:


Start by going to admin -> structure -> menues and check, is the expected menu entry in the right menu?  If so, go to step 2. If not, you have a miss-configuration or bug in Page manager.
Page manager seemingly has done it's part, and now the question is, how do you render the menu on the different pages? Do you output the menu at all on the page where it doesn't show up?