Normally it's recommended you use the default manual textfield and shadow textfield in the MAIN and SUB menu item. They have been pre-created in the movieclips [listmenu item main] and [listmenu item sub] in the layers "textvalue" and "textvalueshadow". You can unhide those layers to edit the fonts.

You DO however have the option to use component parameters instead to define font type and embedding. Do this by setting the listmenu Component parameter manualtextfield to false. If you do so, notice the following details;

WARNING: When using automatically generated text fields, make sure you EMBED fonts used, where needed!!
WARNING: Embedding fonts can considerably increase exported .swf file size.

Usually if you use Device Fonts / _sans _serif etc you won't need to embed fonts. To embed fonts, open a .fla Library, on the right-top of the Library Panel click the drop down menu and select "New Font". Choose the font. Next select and right-click it in the Library and click Linkage options, select "export for actionscript" and "export in first frame".

If you don't embed fonts when using automatically generated text fields, flash will ASUME the font is available on the viewers computer. If it is not, the listmenu items will NOT show any text!!