You can change the Mathematica menu in the way you desire by editing the MenuSetup.tr file, and restarting Mathematica. I make this change each time I get a new version of Mathematica.
Of course, this isn't ideal, because it involves making a permanent change to the system, but it does work - just follow the style of the rest of the file.
Be careful to back up the original file, and make your changes a little at a time, because Mathematica isn't very informative if you get the syntax wrong. Don't use operators in this file - last time I tried, they failed.