I would like to know which option should be activated, to display the list of product categories as a search filter on the product page (shop).
I remember having done it but currently I can not find the option.
Attached is an example image.
If I understand your purpose properly, you want to show the Product categories widget.
You can add this widget in to the Shop page widget area in Appearance > Widgets and it appears on the shop page, if you want in the product page, then you should add it to the Product page widget area: https://gyazo.com/a0faf34775d5899f14449564f04cfa3f