Hi,
The role of a module is to display something in a certain position of the template (side, top, bottom, etc).
When you click on a link of a module which directs to a page where is displays something related to that link in the main area of the page, the module can't display it. Only components display stuff in the main area.
So that's why in the settings of your HikaShop content modules, you have a "menu" setting where you can select a menu item which will take on the role of displaying the products listing of the category you click on in the module (or the product page of the product you click on in the module if the module is displaying products).
So if you want to "go" to another menu item, then you want to select another menu item in that "menu" setting of your module.