Hello,
Lets start from the very beginning. I want to be sure I understand you properly, and I want you to comprehend the WoodMart options, they are much wider. I asked you to read this manual to differ Product categories menus – there are a lot of options to present.
I am checking your site, in the shop page: https://gyazo.com/3f4bfd8bca1589a203c3879b5c7e91d8
Please describe how do you expect it should be here?
Now the categories work as they should.
When I tell you about mega-menu categories I mean these ones: https://gyazo.com/9d97b2f33d73dded961a2d993ef3c3f4
What is the difference: the categories on the shop page are displayed as they are. You can hide empty, you can exclude some of them in the Theme Settings > Shop > Sidebar and title.
Mega-menu product categories menu is created in Appearance > Menu, you chose what to include, exclude, what order to show. Megamenu blocs are also manually created in HTML blocks.
To sum up, please clarify the problem with the detailed description, and screens.
WoodMart has a set of options to show the Product categories, this is a multipurpose theme, if you do not like an option we can find another one appropriate for your needs.
Best Regards