Seems like a bug in the widget associated with prefetching data.
When disabling pre-fetch the expand icon is also shown for deeper levels.
Tried this in Mendix 6.10.5 with the latest version of the widget.
I can totally confirm this. Had the exact same problem with the treeview widget in Mendix 7.7.1. turning prefechting off and setting auto expand depth to 1 was my workaround as well.