Hello,
1. Please create a Product category menu in Appearance > Menu. If you want to have mega menu blocks, you will find the detailed instruction on how to do that: https://xtemos.com/docs/woodmart/create-menu-2/
2. Please navigate to Woodmart > Header builder http://prntscr.com/iyd2pe
Choose the proper header type (your current) http://prntscr.com/iyd333
Add Product categories element http://prntscr.com/iyd3h3 find the option to choose the proper menu inside.
This information would be also helpful for you: https://xtemos.com/docs/woodmart/product-category-menu/
If you have any questions please feel free to contact us.
Best Regards