Its because the blog page is designed to render the blog post if(!Page.IsPostback)
You've enabled it to show left column content in the blog and the menu appears there but is configured to use postback to dynamically populate child nodes. You may be able to solve it by setting TreeViewPopulateOnDemand="false" on the menu, if your hierarchy is not too deep it should be fine without populating on demand.
Only other solution I think would be to make a clone of the PageMenu.ascx and wrap an UpdatePanel around the treeview so it populates with an ajax postback instead of full postback.
Hope it helps,
Joe