Excellent! I'm glad I was able to help you discover a solution that works for your project! Once you can master ContextMenu's with caliburn micro you'll find yourself with a WAYYY better understanding of XAML, Bindings, and Caliburn. =)
The reason I originally had the solution based on observable collections is because I'm doing something a little trickier that requires binding a ItemSource to a context menu. (Think Apply->(ListOfItemsToApply) style of context menus. Where the actions I'm applying are dynamically loaded class from a plugin model.