There is very little documentation on how JMS Menu Item works. Once the master and slave are set up, must I build a menu bridge between each section, category and article I want in the slave? Or do I only need to set up a bridge to the section? Please explain the interaction and procedures. Thanks.

Multi Sites Menu Item as the name tells it works at the menu item level.
So you have to create as many menu item as you have menu item that you would like to "redirect" to the other slave site.

In example:
- In slave 1, you have a menu item (item id = 10) that is defined to display a joomla article, you have in this slave 1 the URL that is somehting like
index.php?option=com_content&view=article&id=50
where the id=50 mean the article id = 50

- In the slave 2, when you want to make reference to the slave 1 menut item 10, this result to compute dynamically the URL based on the current value in the slave 1.
So slave 2 will call the index.php?option=com_content&view=article&id=50

- If later, you decide in slave 1 to change the menu item 10 with something else or another article, this will be automatically reflected in the slave 2 as it compute the URL with the current value of the slave 1 menu item.

Edwin, your example shows slaves pulling articles from other slaves. My structure is that the <master> site has all the articles with two Joomla menus. Each of the slaves has only a frontpage article. The slaves then pull specific sections, categories and articles from the <master> using the JMS Multisites menu. Is this the correct structure? Should the Multisites menu on the slaves link back to the <master> or to my main website (M...A....com)?

The problem is that my slave sites don't show page navigation (Prev/Next), even though Page Navigation Titles plug-in is a Tool installed on the master and the slaves. I believe that the problem has to do with how I have set up the shared menus. I really need to resolve this issue before continuing building my sites. Unfortunately, our last session didn't fix this problem.

Multisites Menu Item redirect the user to the other website.

Next/Previous button in an articles is not related to the "Multisites Menu Item".

Here you seems make reference to the "Multisites Article Sharing" that read the article content from another website.
In this case, (based on your example) the user remain in your slave site and the article is read from the master.
The next/prev button are the same as the one that you have when you use the "Joomla Article".

You can compare the result of the "Multisites Article Sharing" with the "Joomla Article" when selecting the "current website". The rendering is the same.