Use the SetAlwaysLargeImage() member function in the menu subitems, which are usually CMFCRibbonButtons themselves:
std::auto_ptr<CMFCRibbonButton> apBtn3(new CMFCRibbonButton(ID_RIBBON_BTN_3, _T("Split Button"), 2, 2));
apBtn3->SetMenu(IDR_RIBBON_MENU_1, TRUE);
apBtn3->SetAlwaysLargeImage();
apBtn3->RemoveSubItem(0);
std::auto_ptr<CMFCRibbonButton> apSubButton(new CMFCRibbonButton(ID_RIBBON_MBTN_1, _T("Item 1"), 2, 2)); // <-- !!!
apSubButton->SetAlwaysLargeImage(); // <-- !!!
apBtn3->AddSubItem(apSubButton.release(), 0); // <-- !!!
pPanel1->Add(apBtn3.release());
(modified code from the RibbonGadgets sample)