Hi,
It's neither weird nor an issue, but it's the way you've set it up, and you have total control over it. And if you think you've lost control, you can gain it easily back. 
On the linked page, a category listing, the 1st, 3rd and 4th categories are behaving as per default: clicking leads to a product listing of all products in this category, one or multiple.
For the 2nd category you must have entered for its canonical URL the direct link to the product it leads to. (And obviously, you've set the canonical URLs to be used in the system main configuration - which isn't a bad thing.)
It seems from what you're saying that the behaviour of the 2nd category is what you want for all categories containing only a single product, for as long as that's the case.
Well, like for the 2nd category now, you could also for other "single product" categories enter the valid direct link to the product as canonical URL. Doing so for the 3rd and 4th categories will skip the step of the product listing, too.
Only, once more products would get added to such categories, you'd need to empty/delete the canonical URLs in the relevant categories again to have them behaving "regularly" and displaying a product listing upon click... (EDIT:) and depending on your configuration of canonical URLs, either let the system generate a new URL, or enter the valid URL to the product listing manually.