In the Vertical Menu there are built-in module positions. In the module manager under the Module Positions tab of the Vertical Menu there is a parameter called: Show module positions. Enable this option, save the module, and refresh on your frontend. Then you will see that the available positions with their names will appear in the Vertical Menu. Each sub-level has a unique position as well, which prefix can be change anytime in the module manager. After you select the suitable one, you can publish your any of your module(s) into the suitable position of the Menu.

Module positions settings

Available module positions in the Menu

What kind of modules can be placed into the menu?

Of course there is no restriction for that, you can place any type of them. If you check the Natural Beauty light menu on the Demo Site, you will see social icons and contact info at the bottom of the menu. This is a Custom type module, where the icons placed manually with a link within an image. So there is no any other special extension needed. The used positions there is the sm-bottom. These ones are not only available in the main level, all of the subs has also this capability, just open your parent menu item, and if the mentioned parameter above is enabled, you will see that position's name.

These positions are not in the list of the custom module. How can I set it up?

You don't need to do anythign special, just click into the position parameter, write the name of the position, e.g. sm-bottom, and hit enter.

Set custom position for a module
Set custom position for a module