When I started styling the nav menu I copied the CSS from genesis-a2z. The screenshot.png I took on 28th October showed the white space.
When I updated to Gutenberg 9.2.2 I noticed the space between menu items disappeared.
This is because there is no longer a blank space between list items.
This can easily be demonstrated using the the code inspector.
In this screen capture, from the genesis-a2z theme, I removed the blank space between a couple of items.

Requirement

Some spacing between the menu items.

Proposed solution

In order to regain the blank space I'll either need to change the CSS, or adjust the markup.
It makes more sense to use CSS.