Where the additonal contents in the expanded menu item come from?

I am studying the header.php for my website, where I find the following codes:

    ?php if ( has_nav_menu( 'primary-menu' ) ) : ?
      nav class=main-navigation desktop-nav role=navigation
        ?php
          wp_nav_menu( array(
            'theme_location' = 'primary-menu',
            'menu_class'     = 'sf-menu desktop-menu',
            'container'      = false
           ) );
        ?
      /nav!-- desktop-nav --
    ?php endif; ?

Based on this, this is to display the navigation menu for desktop version. I then check the HTML source of the real web page, and find the following codes:

I know how to add a page as a menu item, but that only add the page URL, where the contents in the red rectangle come from? I cannot find a way to define them?