Hi,
Yes.
You have a menu item which is set as a categories listing.
So it displays the sub categories of the current category.
attached to it is a products listing module (it is disabled in the Joomla module manager, but enabled as associated module, that's why you see it at the bottom of your page, and not in the position of the template where you can set it in the module manager) which displays the products of the current category.
So when you arrive on the menu, you see the sub categories of the main category and no product since there are no products directly under the main category. And when you click on a sub category, the menu displays no categories as there are not sub categories of that category and the associated module displays the products of that category.
And as you can see, you have one set of options for the categories listing menu, and one set of options for the associated module. That way, you can configure differently the categories listing and the products listing.