Hi,
Regarding the products listing, the "Direct sub elements" content type only displays products from the selected category and its immediate subcategories (one level deep). If your category tree has deeper nesting (e.g., Main > Sub > Sub-sub), products in deeper levels won't appear.
To display all products from all subcategory levels, you should change the content type to "All sub elements" instead of "Direct sub elements" in the menu item configuration (Products options tab).
Regarding the filter module, I'm not sure what you mean. A filter module display filters, not categories. If you've configured it to display a filter configured on categories, then the categories displayed in that filter depends on the settings of the filter itself. In the filter, you have a setting to configure which parent category to use and it can only display the categories directly below that category.
If you want to display a listing of categories to be able to select a category among all of them, I would rather recommend you to use a HikaShop content module configured as a listing of categories, like we did in on the left sidebar of our demo website.