Hi Stephane,
You are correct. It is about the z-index. I cannot tell you a general fix, but this should fix at least the default Gravity skin on DNN.
1 - Open the skin file /Portals/_default/Skins/Gravity/skin.css
2 - Find "#dnn_pnav > li ul entry"
3 - Then change the "z-index" to, let's say, 10;
This should do the job. You should try a similar approach if you need to fix that on a different/custom skin.
Cheers,
Aderson