The $main_menuvariable only contains first level menu items.
The default $main_menu variable in page.tpl.php is set to menu_main_menu(), which is a contextual view of the main menu tree.
To get your desired output, you need to get the entire menu tree using menu_tree_all_data() and menu_tree_output().
Have a look at this question. Show all nested menu links in Drupal 7Show all nested menu links in Drupal 7
