To start with, my URL (for the time being, until I finish making it later this year, when it moves to its permanent URL) is http://www.nationalanthems.info/wordpress/
So far, I have two pages set with the "Do not link to this page" option in the menu bar above, the one labelled "A" (the dropdown for all the pages beginning with "A"), and the one labelled "Afghanistan" (the parent for all the other Afghanistan pages). "A" behaves as the button says it should, only "#" comes up in the navigation bar because it's not meant to be a selectable page. However, the parent "Afghanistan" page, also not meant to be selected (exactly the same as "A") shows the permalink name I gave it in my browser's navigation bar instead of "#", and while I created a (blank) page for that one, I get a 404 error when I click on it, even if I select "view" from the "edit page section of the admin area.
So, why isn't "Afghanistan" behaving like "A"? (The only thing I can think of is that Afghanistan is a child of A, but that doesn't seem like a logical reason.)